Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Hwabao WP Listed Money Market Fund A Units backtest
10 trend-following strategies were compared on the full daily history of Hwabao WP Listed Money Market Fund A Units. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.0%, drawdown -0.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=131, threshold=0.11 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| ADX / DI 방향성 period=35, threshold=53 |
-0.1% | -1.0% | -0.41 | -0.08 | 1.0x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=21, mult=4 |
-0.1% | -1.1% | -0.42 | -0.08 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
-0.1% | -1.1% | -0.42 | -0.08 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=42, exitN=76 |
-0.3% | -3.8% | -0.70 | -0.08 | 1.0x | 7 | 94% |
| Supertrend period=28, mult=5 |
-0.8% | -9.6% | -1.27 | -0.09 | 0.9x | 19 | 87% |
| SMA 크로스오버 fast=73, slow=286 |
-2.0% | -21.0% | -2.05 | -0.09 | 0.8x | 46 | 39% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.2% | -23.0% | -2.16 | -0.09 | 0.8x | 50 | 51% |
| EMA 크로스오버 fast=57, slow=223 |
-3.1% | -31.2% | -2.58 | -0.10 | 0.7x | 72 | 45% |
| MACD fast=23, slow=57, signal=19 |
-10.6% | -73.6% | -5.06 | -0.14 | 0.3x | 259 | 43% |
| Buy and hold | -0.0% | -0.8% | -0.14 | -0.05 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 131-day return is greater than 11%
- Sell — Sell when the 131-day return drops to 11% or below