Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Hongqiao Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Hongqiao Group Ltd.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -31.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.1%, drawdown -77.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.2%, MDD -53.8%, Sharpe 0.69, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 8.3%, MDD -31.7%, exposure 12%).
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=22, slow=49 |
18.2% | -53.8% | 0.69 | 0.34 | 13.3x | 71 | 49% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
16.5% | -39.7% | 0.68 | 0.41 | 10.5x | 56 | 38% |
| Donchian 채널 돌파 entryN=35, exitN=37 |
17.7% | -59.9% | 0.66 | 0.30 | 12.4x | 34 | 57% |
| EMA 크로스오버 fast=11, slow=52 |
16.9% | -53.0% | 0.66 | 0.32 | 11.2x | 60 | 48% |
| Supertrend period=13, mult=3.5 |
14.6% | -49.3% | 0.60 | 0.30 | 8.2x | 61 | 49% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=13, mult=2.1 |
11.5% | -41.5% | 0.59 | 0.28 | 5.4x | 68 | 23% |
| ROC 모멘텀 n=63, threshold=-0.07 |
15.4% | -60.8% | 0.58 | 0.25 | 9.2x | 126 | 64% |
| ADX / DI 방향성 period=12, threshold=35 |
8.3% | -31.7% | 0.54 | 0.26 | 3.4x | 54 | 12% |
| MACD fast=15, slow=48, signal=19 |
9.1% | -71.2% | 0.43 | 0.13 | 3.9x | 155 | 53% |
| Parabolic SAR step=0.005, maxStep=0.16 |
5.7% | -52.4% | 0.34 | 0.11 | 2.4x | 121 | 46% |
| Buy and hold | 7.1% | -77.3% | 0.38 | 0.09 | 2.9x | 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 22-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 22-day average falls below the 49-day average