Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Harbin Electric Co. Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of Harbin Electric Co. Ltd. Class H. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.3%, MDD -67.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 14.1%, drawdown -94.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.3%, MDD -67.6%, Sharpe 0.69, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 22.3%, MDD -67.6%, exposure 52%).
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=37, slow=92 |
22.3% | -67.6% | 0.69 | 0.33 | 212.2x | 70 | 52% |
| Donchian 채널 돌파 entryN=51, exitN=34 |
18.2% | -84.4% | 0.62 | 0.22 | 84.3x | 68 | 44% |
| 볼린저 밴드 돌파 n=63, k=2.8 |
15.0% | -74.6% | 0.61 | 0.20 | 41.2x | 54 | 24% |
| EMA 크로스오버 fast=21, slow=58 |
17.0% | -81.5% | 0.58 | 0.21 | 64.6x | 108 | 51% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=30, mult=2.4 |
15.3% | -84.0% | 0.57 | 0.18 | 44.0x | 82 | 39% |
| ADX / DI 방향성 period=29, threshold=22 |
12.1% | -61.8% | 0.56 | 0.20 | 20.9x | 64 | 19% |
| ROC 모멘텀 n=87, threshold=-0.04 |
16.0% | -80.9% | 0.56 | 0.20 | 52.0x | 280 | 59% |
| Supertrend period=8, mult=4.6 |
14.5% | -84.2% | 0.53 | 0.17 | 36.8x | 87 | 63% |
| Parabolic SAR step=0.03, maxStep=0.36 |
12.1% | -67.3% | 0.48 | 0.18 | 21.0x | 645 | 48% |
| MACD fast=6, slow=55, signal=7 |
10.0% | -74.6% | 0.43 | 0.13 | 12.5x | 609 | 49% |
| Buy and hold | 14.1% | -94.7% | 0.51 | 0.15 | 33.4x | 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 37-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 37-day average falls below the 92-day average