Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Simcere Pharmaceutical Group Limited backtest
10 trend-following strategies were compared on the full daily history of Simcere Pharmaceutical Group Limited. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.8%, MDD -10.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.0%, drawdown -64.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -61.3%, Sharpe 0.39, 87% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 2.8%p (CAGR 2.8%, MDD -10.7%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=10, exitN=131 |
7.4% | -61.3% | 0.39 | 0.12 | 1.5x | 11 | 87% |
| ROC 모멘텀 n=121, threshold=-0.1 |
5.4% | -65.0% | 0.34 | 0.08 | 1.4x | 55 | 60% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=13, mult=4 |
2.8% | -10.7% | 0.34 | 0.26 | 1.2x | 2 | 2% |
| ADX / DI 방향성 period=15, threshold=31 |
3.7% | -29.2% | 0.28 | 0.13 | 1.2x | 13 | 8% |
| SMA 크로스오버 fast=56, slow=155 |
2.0% | -57.2% | 0.25 | 0.04 | 1.1x | 10 | 47% |
| MACD fast=11, slow=26, signal=18 |
1.1% | -52.8% | 0.22 | 0.02 | 1.1x | 83 | 49% |
| Supertrend period=28, mult=1.7 |
0.5% | -36.9% | 0.20 | 0.01 | 1.0x | 77 | 40% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-1.3% | -60.0% | 0.16 | -0.02 | 0.9x | 136 | 46% |
| 볼린저 밴드 돌파 n=17, k=0.8 |
-1.7% | -60.7% | 0.14 | -0.03 | 0.9x | 114 | 37% |
| EMA 크로스오버 fast=20, slow=83 |
-4.4% | -63.2% | 0.09 | -0.07 | 0.8x | 19 | 47% |
| Buy and hold | 2.0% | -64.0% | 0.30 | 0.03 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 10 days
- Sell — Sell when price breaks below the lowest low of the last 131 days