Trend-Following Backtester · Guide · backtest 한국어
equity · HK
AIA Group Limited backtest
10 trend-following strategies were compared on the full daily history of AIA Group Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -57.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -57.8%, Sharpe 0.34, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=38, slow=94 |
5.0% | -57.8% | 0.34 | 0.09 | 2.2x | 42 | 59% |
| Supertrend period=21, mult=4.8 |
4.6% | -42.6% | 0.34 | 0.11 | 2.0x | 42 | 57% |
| Donchian 채널 돌파 entryN=13, exitN=78 |
4.1% | -56.4% | 0.29 | 0.07 | 1.9x | 39 | 84% |
| EMA 크로스오버 fast=44, slow=56 |
3.5% | -52.8% | 0.27 | 0.07 | 1.7x | 36 | 62% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
1.4% | -22.3% | 0.20 | 0.06 | 1.3x | 22 | 13% |
| ROC 모멘텀 n=108, threshold=0.04 |
0.7% | -32.2% | 0.13 | 0.02 | 1.1x | 134 | 50% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.6% | -67.1% | -0.04 | -0.04 | 0.7x | 135 | 54% |
| ADX / DI 방향성 period=30, threshold=21 |
-0.8% | -21.8% | -0.07 | -0.04 | 0.9x | 20 | 9% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=10, mult=1.3 |
-2.9% | -58.2% | -0.10 | -0.05 | 0.6x | 143 | 39% |
| MACD fast=18, slow=25, signal=18 |
-4.8% | -66.9% | -0.16 | -0.07 | 0.5x | 219 | 48% |
| Buy and hold | 8.1% | -57.8% | 0.42 | 0.14 | 3.4x | 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 38-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 38-day average falls below the 94-day average