Trend-Following Backtester · Guide · backtest 한국어
equity · HK
WH Group Ltd. (HK) backtest
10 trend-following strategies were compared on the full daily history of WH Group Ltd. (HK). 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -10.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.0%, drawdown -59.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -31.4%, Sharpe 0.47, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 3.3%, MDD -10.5%, exposure 8%).
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=63, slow=87 |
8.3% | -31.4% | 0.47 | 0.26 | 2.6x | 38 | 53% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
3.3% | -10.5% | 0.47 | 0.32 | 1.5x | 8 | 8% |
| EMA 크로스오버 fast=30, slow=138 |
5.8% | -49.4% | 0.36 | 0.12 | 2.0x | 18 | 54% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=3.9 |
1.1% | -6.0% | 0.34 | 0.18 | 1.1x | 2 | 1% |
| Supertrend period=8, mult=4.8 |
5.0% | -58.8% | 0.34 | 0.09 | 1.8x | 28 | 54% |
| ADX / DI 방향성 period=20, threshold=36 |
1.0% | -8.9% | 0.27 | 0.11 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=89, threshold=-0.01 |
1.5% | -60.8% | 0.18 | 0.02 | 1.2x | 110 | 60% |
| Donchian 채널 돌파 entryN=44, exitN=55 |
1.1% | -61.7% | 0.16 | 0.02 | 1.1x | 26 | 51% |
| MACD fast=8, slow=44, signal=21 |
-3.0% | -64.5% | -0.02 | -0.05 | 0.7x | 173 | 51% |
| Parabolic SAR step=0.02, maxStep=0.04 |
-3.0% | -67.2% | -0.03 | -0.04 | 0.7x | 137 | 52% |
| Buy and hold | 2.0% | -59.8% | 0.23 | 0.03 | 1.3x | 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 63-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 63-day average falls below the 87-day average