Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Kingdee International Software Group Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kingdee International Software Group Co., Ltd.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.4%, MDD -55.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.3%, drawdown -85.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.2%, MDD -85.0%, Sharpe 0.61, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 0.9%p (CAGR 16.4%, MDD -55.6%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=63 |
18.2% | -85.0% | 0.61 | 0.21 | 32.5x | 56 | 57% |
| SMA 크로스오버 fast=54, slow=122 |
17.9% | -72.6% | 0.60 | 0.25 | 30.8x | 38 | 55% |
| 볼린저 밴드 돌파 n=51, k=0.6 |
16.4% | -55.6% | 0.59 | 0.30 | 23.8x | 159 | 48% |
| Donchian 채널 돌파 entryN=29, exitN=59 |
16.3% | -83.1% | 0.57 | 0.20 | 23.4x | 51 | 68% |
| ADX / DI 방향성 period=33, threshold=6 |
15.5% | -65.3% | 0.56 | 0.24 | 20.2x | 229 | 58% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=1.8 |
13.8% | -54.8% | 0.54 | 0.25 | 14.8x | 106 | 40% |
| ROC 모멘텀 n=53, threshold=0.01 |
13.1% | -76.3% | 0.51 | 0.17 | 13.0x | 278 | 53% |
| Supertrend period=11, mult=4.8 |
12.1% | -81.5% | 0.49 | 0.15 | 10.8x | 61 | 58% |
| MACD fast=12, slow=23, signal=6 |
7.1% | -78.1% | 0.37 | 0.09 | 4.2x | 457 | 51% |
| Parabolic SAR step=0.035, maxStep=0.12 |
5.2% | -72.7% | 0.33 | 0.07 | 2.9x | 501 | 52% |
| Buy and hold | 16.3% | -85.8% | 0.55 | 0.19 | 23.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 63-day EMA
- Sell — Sell when the 30-day EMA falls below the 63-day EMA