Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huaneng Lancang River Hydropower Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Huaneng Lancang River Hydropower Co Ltd Class A. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.7%, MDD -29.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.4%, drawdown -62.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.6%, MDD -31.7%, Sharpe 0.71, 77% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 9.7%, MDD -29.3%, exposure 58%).
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=99, threshold=-0.08 |
14.6% | -31.7% | 0.71 | 0.46 | 3.2x | 33 | 77% |
| Donchian 채널 돌파 entryN=29, exitN=61 |
11.2% | -34.7% | 0.59 | 0.32 | 2.5x | 17 | 69% |
| EMA 크로스오버 fast=32, slow=45 |
10.2% | -37.5% | 0.58 | 0.27 | 2.3x | 23 | 56% |
| Supertrend period=19, mult=4.9 |
9.7% | -29.3% | 0.55 | 0.33 | 2.2x | 19 | 58% |
| 볼린저 밴드 돌파 n=57, k=0.8 |
8.8% | -31.6% | 0.53 | 0.28 | 2.1x | 47 | 46% |
| SMA 크로스오버 fast=27, slow=155 |
8.6% | -43.6% | 0.49 | 0.20 | 2.0x | 19 | 63% |
| ADX / DI 방향성 period=48, threshold=12 |
6.6% | -37.6% | 0.41 | 0.18 | 1.7x | 38 | 53% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=21, mult=2.5 |
3.4% | -31.9% | 0.29 | 0.11 | 1.3x | 38 | 29% |
| MACD fast=11, slow=55, signal=24 |
3.3% | -42.0% | 0.26 | 0.08 | 1.3x | 81 | 51% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-1.6% | -50.8% | 0.03 | -0.03 | 0.9x | 174 | 49% |
| Buy and hold | 8.4% | -62.3% | 0.43 | 0.13 | 2.0x | 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 99-day return is greater than -8%
- Sell — Sell when the 99-day return drops to -8% or below