Trend-Following Backtester · Guide · backtest 한국어

equity · HK

3SBio, Inc. backtest

10 trend-following strategies were compared on the full daily history of 3SBio, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.4%, MDD -14.3%).

Data 2015-06-11 ~ 2026-07-31daily bars 2,743 (11.1 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 5.3%, drawdown -78.7%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.4%, MDD -25.9%, Sharpe 0.65, 10% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 7.4%, MDD -14.3%, exposure 7%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=24, threshold=26
13.4%-25.9%0.650.524.0x1610%
볼린저 밴드 돌파
n=29, k=3.5
7.4%-14.3%0.610.522.2x67%
ROC 모멘텀
n=42, threshold=0.19
12.6%-42.8%0.580.303.8x8217%
Keltner 채널 돌파
emaPeriod=42, atrPeriod=22, mult=4
11.3%-42.6%0.560.273.3x1614%
Donchian 채널 돌파
entryN=48, exitN=16
10.5%-43.1%0.490.243.0x4028%
EMA 크로스오버
fast=9, slow=40
10.7%-71.7%0.470.153.1x7043%
Supertrend
period=20, mult=2.3
8.9%-50.1%0.420.182.6x9046%
SMA 크로스오버
fast=47, slow=175
8.7%-75.4%0.420.122.5x1641%
MACD
fast=17, slow=49, signal=17
7.0%-56.6%0.370.122.1x11950%
Parabolic SAR
step=0.01, maxStep=0.24
2.1%-59.7%0.240.031.3x14649%
Buy and hold5.3%-78.7%0.350.071.8x1100%
1x 2016 2018 2020 2022 2024 2026 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -79% 2016 2018 2020 2022 2024 2026 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -25.9% (2021-06-24 → 2021-07-06), recovered after 1,373 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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