Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Communications Services Corp. Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of China Communications Services Corp. Ltd. Class H. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.8%, MDD -26.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.3%, drawdown -74.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -51.6%, Sharpe 0.22, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 0.8%, MDD -26.0%, exposure 7%).
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=53, slow=121 |
2.2% | -51.6% | 0.22 | 0.04 | 1.5x | 40 | 48% |
| EMA 크로스오버 fast=57, slow=66 |
0.5% | -60.1% | 0.15 | 0.01 | 1.1x | 40 | 48% |
| 볼린저 밴드 돌파 n=21, k=3.1 |
0.8% | -26.0% | 0.13 | 0.03 | 1.2x | 26 | 7% |
| MACD fast=19, slow=49, signal=17 |
-0.3% | -63.9% | 0.12 | -0.01 | 0.9x | 199 | 50% |
| Donchian 채널 돌파 entryN=79, exitN=69 |
-1.1% | -51.8% | 0.08 | -0.02 | 0.8x | 26 | 45% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.8% | -72.3% | 0.02 | -0.04 | 0.6x | 145 | 48% |
| Supertrend period=29, mult=2.5 |
-3.8% | -77.1% | -0.02 | -0.05 | 0.5x | 147 | 48% |
| ROC 모멘텀 n=108, threshold=-0.04 |
-4.2% | -78.2% | -0.02 | -0.05 | 0.4x | 216 | 59% |
| ADX / DI 방향성 period=17, threshold=37 |
-0.7% | -32.8% | -0.06 | -0.02 | 0.9x | 18 | 4% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=21, mult=3.2 |
-2.4% | -48.1% | -0.11 | -0.05 | 0.6x | 42 | 11% |
| Buy and hold | 0.3% | -74.1% | 0.21 | 0.00 | 1.1x | 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 53-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 53-day average falls below the 121-day average