Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Merchants Port Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Merchants Port Holdings Co., Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.4%, MDD -62.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.3%, drawdown -85.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -62.9%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 5.4%, MDD -62.9%, exposure 56%).
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=37, slow=209 |
5.4% | -62.9% | 0.33 | 0.09 | 4.0x | 40 | 56% |
| Donchian 채널 돌파 entryN=37, exitN=72 |
4.3% | -67.8% | 0.29 | 0.06 | 3.1x | 55 | 66% |
| EMA 크로스오버 fast=39, slow=188 |
3.9% | -66.8% | 0.28 | 0.06 | 2.7x | 40 | 54% |
| ROC 모멘텀 n=77, threshold=-0.08 |
3.6% | -76.4% | 0.27 | 0.05 | 2.6x | 239 | 72% |
| Supertrend period=25, mult=5 |
1.4% | -65.0% | 0.19 | 0.02 | 1.5x | 69 | 59% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
1.1% | -40.6% | 0.15 | 0.03 | 1.3x | 30 | 13% |
| ADX / DI 방향성 period=31, threshold=25 |
0.0% | -23.5% | 0.04 | 0.00 | 1.0x | 18 | 4% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=8, mult=4 |
-0.5% | -27.5% | -0.03 | -0.02 | 0.9x | 16 | 4% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.3% | -88.1% | -0.08 | -0.06 | 0.2x | 329 | 50% |
| MACD fast=17, slow=79, signal=13 |
-6.4% | -92.9% | -0.12 | -0.07 | 0.2x | 307 | 50% |
| Buy and hold | 3.3% | -85.9% | 0.27 | 0.04 | 2.3x | 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 37-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 37-day average falls below the 209-day average