Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CSPC Innovation Pharmaceutical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of CSPC Innovation Pharmaceutical Co., Ltd. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 30.8%, drawdown -63.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.2%, MDD -56.1%, Sharpe 0.71, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=128 |
23.2% | -56.1% | 0.71 | 0.41 | 4.7x | 11 | 57% |
| ROC 모멘텀 n=147, threshold=0.03 |
22.3% | -48.0% | 0.69 | 0.46 | 4.5x | 49 | 52% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
16.3% | -39.1% | 0.63 | 0.42 | 3.1x | 18 | 24% |
| EMA 크로스오버 fast=32, slow=111 |
18.0% | -56.6% | 0.61 | 0.32 | 3.4x | 13 | 56% |
| ADX / DI 방향성 period=22, threshold=38 |
9.4% | -28.4% | 0.61 | 0.33 | 2.0x | 4 | 5% |
| Supertrend period=26, mult=2.1 |
15.2% | -44.9% | 0.56 | 0.34 | 2.9x | 81 | 44% |
| Parabolic SAR step=0.04, maxStep=0.08 |
13.3% | -60.7% | 0.51 | 0.22 | 2.5x | 146 | 46% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=4 |
11.2% | -58.1% | 0.49 | 0.19 | 2.2x | 19 | 23% |
| MACD fast=6, slow=48, signal=12 |
11.8% | -57.2% | 0.48 | 0.21 | 2.3x | 132 | 50% |
| Donchian 채널 돌파 entryN=111, exitN=44 |
10.9% | -57.0% | 0.48 | 0.19 | 2.2x | 11 | 35% |
| Buy and hold | 30.8% | -63.1% | 0.77 | 0.49 | 7.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 47-day average falls below the 128-day average