Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Shanghai Henlius Biotech, Inc. Class H backtest
10 trend-following strategies were compared on the full daily history of Shanghai Henlius Biotech, Inc. Class H. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.4%, MDD -28.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.2%, drawdown -85.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.6%, MDD -38.4%, Sharpe 0.87, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.4%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 9.4%, MDD -28.4%, exposure 17%).
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=54, slow=283 |
26.6% | -38.4% | 0.87 | 0.69 | 5.1x | 4 | 37% |
| ADX / DI 방향성 period=32, threshold=20 |
18.5% | -34.4% | 0.79 | 0.54 | 3.2x | 16 | 20% |
| EMA 크로스오버 fast=71, slow=151 |
16.9% | -55.6% | 0.62 | 0.30 | 2.9x | 4 | 43% |
| 볼린저 밴드 돌파 n=77, k=2.8 |
12.6% | -39.0% | 0.58 | 0.32 | 2.3x | 10 | 21% |
| ROC 모멘텀 n=91, threshold=0.08 |
14.3% | -44.0% | 0.57 | 0.32 | 2.5x | 64 | 35% |
| Supertrend period=19, mult=1.7 |
13.3% | -54.4% | 0.52 | 0.25 | 2.4x | 85 | 49% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=8, mult=3.3 |
9.4% | -28.4% | 0.50 | 0.33 | 1.9x | 12 | 17% |
| MACD fast=6, slow=25, signal=18 |
9.6% | -76.2% | 0.43 | 0.13 | 1.9x | 125 | 47% |
| Donchian 채널 돌파 entryN=93, exitN=34 |
6.2% | -64.7% | 0.35 | 0.10 | 1.5x | 12 | 33% |
| Parabolic SAR step=0.02, maxStep=0.38 |
0.6% | -64.4% | 0.21 | 0.01 | 1.0x | 141 | 48% |
| Buy and hold | 4.2% | -85.0% | 0.36 | 0.05 | 1.3x | 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 54-day average price crosses above the 283-day average
- Sell — Sell (to cash) when the 54-day average falls below the 283-day average