Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Taiping Insurance Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Taiping Insurance Holdings Co., Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.2%, MDD -40.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.6%, drawdown -84.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.8%, MDD -55.6%, Sharpe 0.58, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 12.2%, MDD -40.0%, exposure 28%).
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=43, slow=180 |
14.8% | -55.6% | 0.58 | 0.27 | 36.3x | 40 | 48% |
| Donchian 채널 돌파 entryN=89, exitN=21 |
12.2% | -40.0% | 0.58 | 0.31 | 20.4x | 60 | 28% |
| ROC 모멘텀 n=98, threshold=0.14 |
12.5% | -47.1% | 0.55 | 0.27 | 21.5x | 182 | 34% |
| EMA 크로스오버 fast=50, slow=173 |
13.5% | -60.5% | 0.55 | 0.22 | 27.2x | 31 | 49% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=13, mult=1.9 |
11.6% | -63.3% | 0.53 | 0.18 | 17.6x | 113 | 37% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
6.5% | -37.5% | 0.51 | 0.17 | 5.2x | 30 | 7% |
| ADX / DI 방향성 period=47, threshold=14 |
8.0% | -49.7% | 0.43 | 0.16 | 7.5x | 82 | 26% |
| Supertrend period=13, mult=4.4 |
6.7% | -75.6% | 0.36 | 0.09 | 5.4x | 94 | 52% |
| MACD fast=20, slow=33, signal=17 |
3.1% | -83.4% | 0.26 | 0.04 | 2.2x | 295 | 51% |
| Parabolic SAR step=0.02, maxStep=0.22 |
0.7% | -81.3% | 0.19 | 0.01 | 1.2x | 509 | 51% |
| Buy and hold | 10.6% | -84.6% | 0.45 | 0.13 | 13.9x | 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 43-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 43-day average falls below the 180-day average