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 29.3%, MDD -40.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 19.5%, drawdown -93.0%).
Sharpe leader (same as main): Supertrend — CAGR 34.1%, MDD -47.5%, Sharpe 0.94, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 29.3%, MDD -40.6%, exposure 47%).
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 |
34.1% | -47.5% | 0.94 | 0.72 | 15.0x | 25 | 56% |
| ADX / DI 방향성 period=38, threshold=8 |
31.8% | -51.1% | 0.93 | 0.62 | 12.7x | 69 | 52% |
| EMA 크로스오버 fast=24, slow=53 |
32.5% | -52.7% | 0.91 | 0.62 | 13.4x | 25 | 58% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=20, mult=1.3 |
29.3% | -40.6% | 0.90 | 0.72 | 10.7x | 37 | 47% |
| SMA 크로스오버 fast=23, slow=75 |
31.0% | -48.5% | 0.88 | 0.64 | 12.1x | 23 | 56% |
| 볼린저 밴드 돌파 n=56, k=0.8 |
27.7% | -47.2% | 0.85 | 0.59 | 9.5x | 41 | 50% |
| ROC 모멘텀 n=124, threshold=0.13 |
22.6% | -50.9% | 0.74 | 0.45 | 6.6x | 57 | 49% |
| Donchian 채널 돌파 entryN=117, exitN=61 |
21.9% | -48.2% | 0.72 | 0.45 | 6.2x | 9 | 50% |
| Parabolic SAR step=0.02, maxStep=0.06 |
8.3% | -74.5% | 0.40 | 0.11 | 2.1x | 135 | 54% |
| MACD fast=16, slow=33, signal=16 |
-1.9% | -83.5% | 0.17 | -0.02 | 0.8x | 125 | 53% |
| Buy and hold | 19.5% | -93.0% | 0.61 | 0.21 | 5.2x | 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)