Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huaneng Power International, Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Huaneng Power International, Inc. Class A. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -48.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.3%, drawdown -79.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.8%, MDD -68.3%, Sharpe 0.28, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 11.6%p (CAGR 2.8%, MDD -48.7%, exposure 15%).
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=36, slow=148 |
3.8% | -68.3% | 0.28 | 0.06 | 2.5x | 48 | 46% |
| Donchian 채널 돌파 entryN=67, exitN=79 |
3.0% | -66.2% | 0.25 | 0.05 | 2.1x | 35 | 52% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
2.8% | -48.7% | 0.24 | 0.06 | 2.0x | 44 | 15% |
| ADX / DI 방향성 period=21, threshold=23 |
1.7% | -61.1% | 0.18 | 0.03 | 1.5x | 102 | 18% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=3.8 |
1.4% | -51.8% | 0.17 | 0.03 | 1.4x | 44 | 14% |
| Supertrend period=21, mult=2.2 |
0.6% | -65.4% | 0.15 | 0.01 | 1.2x | 239 | 47% |
| EMA 크로스오버 fast=54, slow=215 |
0.1% | -77.1% | 0.14 | 0.00 | 1.0x | 34 | 42% |
| ROC 모멘텀 n=127, threshold=-0.03 |
-1.4% | -78.2% | 0.10 | -0.02 | 0.7x | 224 | 52% |
| MACD fast=12, slow=53, signal=10 |
-1.4% | -85.2% | 0.08 | -0.02 | 0.7x | 385 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.6% | -78.5% | -0.05 | -0.06 | 0.3x | 196 | 47% |
| Buy and hold | 1.3% | -79.9% | 0.22 | 0.02 | 1.4x | 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 36-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 36-day average falls below the 148-day average