Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Resources Pharmaceutical Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Resources Pharmaceutical Group Ltd.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -1.6%, MDD -43.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -6.9%, drawdown -75.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -1.7%, MDD -62.9%, Sharpe 0.04, 47% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR -1.6%, MDD -43.1%, exposure 9%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 12.1%p (CAGR -1.6%, MDD -43.1%, exposure 9%).
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=59, slow=136 |
-1.7% | -62.9% | 0.04 | -0.03 | 0.8x | 16 | 47% |
| Donchian 채널 돌파 entryN=105, exitN=58 |
-2.9% | -55.6% | -0.02 | -0.05 | 0.8x | 12 | 39% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=28, mult=1.6 |
-1.6% | -43.1% | -0.03 | -0.04 | 0.9x | 50 | 9% |
| Supertrend period=26, mult=3 |
-4.5% | -62.8% | -0.06 | -0.07 | 0.6x | 57 | 41% |
| ROC 모멘텀 n=149, threshold=-0.01 |
-3.9% | -54.3% | -0.06 | -0.07 | 0.7x | 65 | 46% |
| EMA 크로스오버 fast=34, slow=109 |
-4.1% | -64.7% | -0.07 | -0.06 | 0.7x | 20 | 43% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-7.4% | -65.6% | -0.19 | -0.11 | 0.5x | 132 | 45% |
| ADX / DI 방향성 period=32, threshold=11 |
-8.0% | -56.1% | -0.23 | -0.14 | 0.4x | 90 | 37% |
| 볼린저 밴드 돌파 n=11, k=1.4 |
-8.1% | -71.4% | -0.27 | -0.11 | 0.4x | 198 | 31% |
| MACD fast=19, slow=48, signal=15 |
-10.9% | -74.3% | -0.32 | -0.15 | 0.3x | 122 | 51% |
| Buy and hold | -6.9% | -75.0% | -0.04 | -0.09 | 0.5x | 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 59-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 59-day average falls below the 136-day average