Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Star Entertainment Limited backtest
10 trend-following strategies were compared on the full daily history of China Star Entertainment Limited. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.7%, MDD -33.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.9%, drawdown -100.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.7%, MDD -75.1%, Sharpe 0.41, 25% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.8%, MDD -76.5%, exposure 17%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.6%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 5.7%, MDD -33.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=182, threshold=0.3 |
8.7% | -75.1% | 0.41 | 0.12 | 7.4x | 51 | 25% |
| Donchian 채널 돌파 entryN=24, exitN=4 |
9.8% | -76.5% | 0.40 | 0.13 | 9.4x | 180 | 17% |
| SMA 크로스오버 fast=62, slow=202 |
5.2% | -90.0% | 0.33 | 0.06 | 3.4x | 29 | 38% |
| ADX / DI 방향성 period=36, threshold=36 |
5.7% | -33.4% | 0.31 | 0.17 | 3.8x | 18 | 6% |
| EMA 크로스오버 fast=15, slow=210 |
4.3% | -90.3% | 0.30 | 0.05 | 2.7x | 45 | 33% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=24, mult=3.5 |
3.9% | -84.9% | 0.28 | 0.05 | 2.5x | 70 | 16% |
| 볼린저 밴드 돌파 n=42, k=2.4 |
3.2% | -86.2% | 0.28 | 0.04 | 2.1x | 92 | 20% |
| Supertrend period=35, mult=2.2 |
0.9% | -94.6% | 0.27 | 0.01 | 1.2x | 238 | 38% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-6.2% | -99.8% | 0.15 | -0.06 | 0.2x | 476 | 43% |
| MACD fast=16, slow=50, signal=18 |
-9.7% | -99.7% | 0.15 | -0.10 | 0.1x | 258 | 51% |
| Buy and hold | -16.9% | -100.0% | 0.14 | -0.17 | 0.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 182-day return is greater than 30%
- Sell — Sell when the 182-day return drops to 30% or below