Trend-Following Backtester · Guide · backtest 한국어
equity · GB
HSBC Holdings Plc backtest
10 trend-following strategies were compared on the full daily history of HSBC Holdings Plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.7%, MDD -52.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -70.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -52.0%, Sharpe 0.57, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 18.2%p (CAGR 9.7%, MDD -52.0%, exposure 57%).
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=10, slow=89 |
9.7% | -52.0% | 0.57 | 0.19 | 33.4x | 155 | 57% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=3.9 |
6.6% | -35.4% | 0.52 | 0.19 | 11.2x | 100 | 26% |
| EMA 크로스오버 fast=31, slow=60 |
8.4% | -61.3% | 0.51 | 0.14 | 21.7x | 117 | 57% |
| Donchian 채널 돌파 entryN=92, exitN=64 |
7.7% | -70.2% | 0.49 | 0.11 | 16.6x | 61 | 50% |
| ROC 모멘텀 n=110, threshold=0.1 |
5.9% | -44.5% | 0.43 | 0.13 | 8.9x | 273 | 35% |
| Supertrend period=18, mult=4.6 |
6.5% | -49.5% | 0.43 | 0.13 | 11.1x | 207 | 52% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
3.2% | -23.3% | 0.41 | 0.14 | 3.3x | 42 | 11% |
| ADX / DI 방향성 period=38, threshold=11 |
4.9% | -67.5% | 0.36 | 0.07 | 6.1x | 275 | 41% |
| Parabolic SAR step=0.01, maxStep=0.1 |
1.7% | -86.4% | 0.18 | 0.02 | 1.9x | 477 | 54% |
| MACD fast=12, slow=30, signal=18 |
-1.7% | -92.8% | 0.01 | -0.02 | 0.5x | 583 | 52% |
| Buy and hold | 9.8% | -70.2% | 0.47 | 0.14 | 35.5x | 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 10-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 10-day average falls below the 89-day average