Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Tencent Holdings Ltd backtest
10 trend-following strategies were compared on the full daily history of Tencent Holdings Ltd. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 32.3%, MDD -40.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 33.7%, drawdown -73.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 32.3%, MDD -40.7%, Sharpe 1.05, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 32.3%p (CAGR 32.3%, MDD -40.7%, exposure 69%).
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=46, slow=67 |
32.3% | -40.7% | 1.05 | 0.79 | 492.1x | 38 | 69% |
| ROC 모멘텀 n=94, threshold=-0.03 |
31.3% | -45.5% | 1.02 | 0.69 | 413.0x | 128 | 73% |
| SMA 크로스오버 fast=38, slow=117 |
29.6% | -45.4% | 1.00 | 0.65 | 310.4x | 32 | 66% |
| 볼린저 밴드 돌파 n=63, k=1.6 |
24.0% | -32.5% | 0.96 | 0.74 | 116.5x | 74 | 46% |
| Donchian 채널 돌파 entryN=57, exitN=60 |
26.1% | -38.7% | 0.92 | 0.67 | 167.7x | 38 | 62% |
| Supertrend period=19, mult=4.7 |
23.7% | -35.5% | 0.89 | 0.67 | 111.2x | 68 | 56% |
| Parabolic SAR step=0.005, maxStep=0.02 |
23.9% | -52.2% | 0.87 | 0.46 | 115.0x | 95 | 61% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=22, mult=2.3 |
19.8% | -37.2% | 0.85 | 0.53 | 54.1x | 102 | 43% |
| ADX / DI 방향성 period=42, threshold=8 |
20.5% | -50.8% | 0.79 | 0.40 | 61.6x | 205 | 61% |
| MACD fast=18, slow=53, signal=12 |
12.6% | -48.1% | 0.58 | 0.26 | 13.9x | 285 | 51% |
| Buy and hold | 33.7% | -73.0% | 0.94 | 0.46 | 618.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 67-day EMA
- Sell — Sell when the 46-day EMA falls below the 67-day EMA