Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Orient Overseas (International) Limited backtest
10 trend-following strategies were compared on the full daily history of Orient Overseas (International) Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -31.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.3%, drawdown -89.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.9%, MDD -76.4%, Sharpe 0.60, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 7.1%, MDD -31.0%, exposure 11%).
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=57, slow=68 |
15.9% | -76.4% | 0.60 | 0.21 | 27.1x | 108 | 54% |
| Donchian 채널 돌파 entryN=20, exitN=78 |
14.2% | -70.0% | 0.53 | 0.20 | 19.1x | 53 | 79% |
| ROC 모멘텀 n=112, threshold=0.1 |
12.4% | -60.4% | 0.53 | 0.20 | 13.5x | 149 | 41% |
| Supertrend period=10, mult=3.3 |
11.0% | -67.9% | 0.48 | 0.16 | 10.3x | 141 | 51% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
7.1% | -31.0% | 0.46 | 0.23 | 4.6x | 48 | 11% |
| Parabolic SAR step=0.01, maxStep=0.22 |
9.8% | -71.3% | 0.45 | 0.14 | 8.1x | 263 | 50% |
| EMA 크로스오버 fast=9, slow=205 |
8.7% | -76.9% | 0.42 | 0.11 | 6.4x | 51 | 48% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=27, mult=3.9 |
5.9% | -46.2% | 0.37 | 0.13 | 3.6x | 57 | 16% |
| MACD fast=24, slow=92, signal=17 |
6.9% | -67.8% | 0.37 | 0.10 | 4.4x | 193 | 51% |
| ADX / DI 방향성 period=15, threshold=7 |
2.6% | -71.8% | 0.25 | 0.04 | 1.8x | 413 | 51% |
| Buy and hold | 8.3% | -89.7% | 0.41 | 0.09 | 6.0x | 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 57-day average price crosses above the 68-day average
- Sell — Sell (to cash) when the 57-day average falls below the 68-day average