Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Wuxi Biologics (Cayman) Inc. backtest
10 trend-following strategies were compared on the full daily history of Wuxi Biologics (Cayman) Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 26.3%, MDD -40.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 16.7%, drawdown -93.0%).
Sharpe leader (same as main): Supertrend — CAGR 31.1%, MDD -47.5%, Sharpe 0.88, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 26.3%, MDD -40.6%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=3.8 |
31.1% | -47.5% | 0.88 | 0.66 | 11.9x | 25 | 56% |
| ADX / DI 방향성 period=38, threshold=8 |
28.8% | -51.1% | 0.87 | 0.56 | 10.1x | 69 | 51% |
| EMA 크로스오버 fast=24, slow=53 |
29.5% | -52.7% | 0.85 | 0.56 | 10.6x | 25 | 58% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=20, mult=1.3 |
26.3% | -40.6% | 0.84 | 0.65 | 8.5x | 37 | 46% |
| SMA 크로스오버 fast=23, slow=75 |
28.1% | -48.5% | 0.82 | 0.58 | 9.6x | 23 | 56% |
| 볼린저 밴드 돌파 n=56, k=0.8 |
24.8% | -47.2% | 0.79 | 0.52 | 7.5x | 41 | 49% |
| ROC 모멘텀 n=124, threshold=0.13 |
22.1% | -50.9% | 0.73 | 0.43 | 6.2x | 56 | 49% |
| Donchian 채널 돌파 entryN=117, exitN=61 |
21.3% | -48.2% | 0.71 | 0.44 | 5.8x | 8 | 50% |
| Parabolic SAR step=0.02, maxStep=0.06 |
6.2% | -74.5% | 0.35 | 0.08 | 1.7x | 134 | 53% |
| MACD fast=16, slow=33, signal=16 |
-4.4% | -83.5% | 0.10 | -0.05 | 0.7x | 125 | 53% |
| Buy and hold | 16.7% | -93.0% | 0.57 | 0.18 | 4.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)