Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Chow Tai Fook Jewellery Group Limited backtest
10 trend-following strategies were compared on the full daily history of Chow Tai Fook Jewellery Group Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.2%, MDD -35.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.4%, drawdown -72.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -54.1%, Sharpe 0.34, 47% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 2.2%, MDD -35.9%, 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=26, slow=145 |
5.5% | -54.1% | 0.34 | 0.10 | 2.2x | 31 | 47% |
| Donchian 채널 돌파 entryN=146, exitN=61 |
4.7% | -39.3% | 0.33 | 0.12 | 2.0x | 12 | 34% |
| Supertrend period=5, mult=4.9 |
4.6% | -69.2% | 0.31 | 0.07 | 1.9x | 41 | 55% |
| ROC 모멘텀 n=110, threshold=0.14 |
2.2% | -35.9% | 0.21 | 0.06 | 1.4x | 103 | 28% |
| EMA 크로스오버 fast=6, slow=175 |
1.9% | -65.0% | 0.20 | 0.03 | 1.3x | 57 | 45% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.8% | -59.8% | 0.11 | -0.01 | 0.9x | 113 | 49% |
| MACD fast=18, slow=46, signal=19 |
-2.1% | -69.0% | 0.06 | -0.03 | 0.7x | 159 | 51% |
| 볼린저 밴드 돌파 n=42, k=2.3 |
-0.9% | -49.1% | 0.05 | -0.02 | 0.9x | 59 | 26% |
| ADX / DI 방향성 period=37, threshold=17 |
-0.6% | -42.9% | 0.05 | -0.01 | 0.9x | 54 | 20% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=2.5 |
-1.4% | -54.3% | 0.03 | -0.03 | 0.8x | 63 | 28% |
| Buy and hold | -0.4% | -72.1% | 0.18 | -0.01 | 0.9x | 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 26-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 26-day average falls below the 145-day average