Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Genscript Biotech Corporation backtest
10 trend-following strategies were compared on the full daily history of Genscript Biotech Corporation. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 29.8%, MDD -55.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 28.0%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 36.4%, MDD -55.6%, Sharpe 0.88, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 29.8%, MDD -55.4%, exposure 41%).
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=10, slow=86 |
36.4% | -55.6% | 0.88 | 0.66 | 26.8x | 37 | 50% |
| 볼린저 밴드 돌파 n=30, k=1.4 |
29.7% | -60.4% | 0.81 | 0.49 | 15.6x | 79 | 37% |
| Supertrend period=26, mult=4.4 |
30.1% | -63.5% | 0.80 | 0.47 | 16.1x | 33 | 46% |
| ROC 모멘텀 n=152, threshold=0.08 |
29.8% | -55.4% | 0.80 | 0.54 | 15.9x | 63 | 41% |
| Donchian 채널 돌파 entryN=25, exitN=61 |
32.2% | -74.1% | 0.78 | 0.44 | 19.3x | 27 | 69% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=1.3 |
27.5% | -61.0% | 0.77 | 0.45 | 13.0x | 75 | 37% |
| EMA 크로스오버 fast=28, slow=42 |
29.2% | -74.1% | 0.77 | 0.39 | 15.0x | 41 | 50% |
| MACD fast=18, slow=46, signal=12 |
21.0% | -61.7% | 0.64 | 0.34 | 7.5x | 125 | 47% |
| ADX / DI 방향성 period=37, threshold=19 |
16.6% | -45.0% | 0.62 | 0.37 | 5.1x | 25 | 19% |
| Parabolic SAR step=0.015, maxStep=0.38 |
13.2% | -73.5% | 0.50 | 0.18 | 3.7x | 181 | 47% |
| Buy and hold | 28.0% | -80.4% | 0.70 | 0.35 | 13.6x | 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 10-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 10-day average falls below the 86-day average