Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Hengan International Group Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hengan International Group Co., Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.3%, MDD -56.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.8%, drawdown -79.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -62.0%, Sharpe 0.55, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 10.3%, MDD -56.0%, exposure 51%).
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=32, slow=139 |
10.5% | -62.0% | 0.55 | 0.17 | 14.1x | 42 | 52% |
| EMA 크로스오버 fast=36, slow=189 |
10.3% | -56.0% | 0.54 | 0.18 | 13.5x | 34 | 51% |
| Donchian 채널 돌파 entryN=97, exitN=56 |
9.1% | -52.5% | 0.52 | 0.17 | 10.2x | 38 | 45% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=2.6 |
7.6% | -60.3% | 0.49 | 0.13 | 6.9x | 86 | 34% |
| ADX / DI 방향성 period=35, threshold=19 |
6.0% | -39.9% | 0.47 | 0.15 | 4.7x | 58 | 20% |
| 볼린저 밴드 돌파 n=53, k=1.7 |
6.2% | -75.9% | 0.41 | 0.08 | 4.9x | 120 | 39% |
| MACD fast=39, slow=182, signal=32 |
6.2% | -74.5% | 0.38 | 0.08 | 4.9x | 118 | 53% |
| ROC 모멘텀 n=127, threshold=0.02 |
6.2% | -75.0% | 0.38 | 0.08 | 5.0x | 194 | 51% |
| Supertrend period=16, mult=3.2 |
4.5% | -76.0% | 0.31 | 0.06 | 3.2x | 145 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.4% | -81.6% | 0.17 | 0.02 | 1.4x | 223 | 53% |
| Buy and hold | 9.8% | -79.3% | 0.46 | 0.12 | 11.9x | 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 32-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 32-day average falls below the 139-day average