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 7.3%, MDD -14.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.9%, drawdown -78.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.3%, MDD -25.9%, Sharpe 0.65, 10% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 7.3%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=26 |
13.3% | -25.9% | 0.65 | 0.51 | 4.0x | 16 | 10% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
7.3% | -14.3% | 0.60 | 0.51 | 2.2x | 6 | 7% |
| ROC 모멘텀 n=42, threshold=0.19 |
12.5% | -42.8% | 0.58 | 0.29 | 3.8x | 82 | 17% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=22, mult=4 |
11.2% | -42.6% | 0.56 | 0.26 | 3.3x | 16 | 14% |
| Donchian 채널 돌파 entryN=48, exitN=16 |
10.4% | -43.1% | 0.49 | 0.24 | 3.0x | 40 | 27% |
| EMA 크로스오버 fast=9, slow=40 |
10.6% | -71.7% | 0.47 | 0.15 | 3.1x | 70 | 43% |
| Supertrend period=20, mult=2.3 |
8.9% | -50.1% | 0.42 | 0.18 | 2.6x | 90 | 46% |
| SMA 크로스오버 fast=47, slow=175 |
8.7% | -75.4% | 0.42 | 0.11 | 2.5x | 16 | 41% |
| MACD fast=17, slow=49, signal=17 |
6.6% | -56.6% | 0.36 | 0.12 | 2.0x | 119 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
2.1% | -59.7% | 0.24 | 0.03 | 1.3x | 146 | 48% |
| Buy and hold | 4.9% | -78.7% | 0.34 | 0.06 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)