Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Resources Beer (Holdings) Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Resources Beer (Holdings) Co. Ltd.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -37.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.0%, drawdown -74.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.8%, MDD -73.0%, Sharpe 0.28, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 1.3%p (CAGR 1.8%, MDD -37.5%, exposure 10%).
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=50, slow=194 |
3.8% | -73.0% | 0.28 | 0.05 | 2.7x | 34 | 52% |
| SMA 크로스오버 fast=26, slow=215 |
3.7% | -72.0% | 0.28 | 0.05 | 2.7x | 48 | 52% |
| 볼린저 밴드 돌파 n=35, k=2.3 |
2.8% | -52.4% | 0.24 | 0.05 | 2.1x | 114 | 24% |
| Donchian 채널 돌파 entryN=20, exitN=66 |
1.4% | -81.0% | 0.21 | 0.02 | 1.5x | 74 | 70% |
| ADX / DI 방향성 period=38, threshold=20 |
1.8% | -37.5% | 0.20 | 0.05 | 1.6x | 28 | 10% |
| Supertrend period=23, mult=4.8 |
1.6% | -64.9% | 0.19 | 0.02 | 1.5x | 72 | 56% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=22, mult=2.7 |
1.0% | -56.9% | 0.15 | 0.02 | 1.3x | 90 | 28% |
| MACD fast=16, slow=58, signal=16 |
-1.8% | -78.5% | 0.10 | -0.02 | 0.6x | 300 | 50% |
| ROC 모멘텀 n=143, threshold=-0.01 |
-2.2% | -85.2% | 0.07 | -0.03 | 0.6x | 230 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.1% | -78.7% | 0.04 | -0.04 | 0.4x | 214 | 51% |
| Buy and hold | 2.0% | -74.4% | 0.26 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 194-day EMA
- Sell — Sell when the 50-day EMA falls below the 194-day EMA