Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Power International Development Ltd backtest
10 trend-following strategies were compared on the full daily history of China Power International Development Ltd. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -33.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.1%, drawdown -80.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -51.4%, Sharpe 0.31, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 1.3%, MDD -33.3%, exposure 6%).
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=31, slow=112 |
4.8% | -51.4% | 0.31 | 0.09 | 2.8x | 52 | 44% |
| EMA 크로스오버 fast=33, slow=154 |
4.4% | -58.3% | 0.29 | 0.07 | 2.5x | 38 | 45% |
| 볼린저 밴드 돌파 n=50, k=2.5 |
3.0% | -39.7% | 0.25 | 0.08 | 1.9x | 64 | 21% |
| ROC 모멘텀 n=134, threshold=0.13 |
2.5% | -49.4% | 0.22 | 0.05 | 1.7x | 134 | 27% |
| Donchian 채널 돌파 entryN=53, exitN=30 |
1.6% | -55.7% | 0.19 | 0.03 | 1.4x | 60 | 33% |
| ADX / DI 방향성 period=32, threshold=25 |
1.3% | -33.3% | 0.16 | 0.04 | 1.3x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=13, mult=3.1 |
0.6% | -49.3% | 0.12 | 0.01 | 1.1x | 52 | 15% |
| Supertrend period=24, mult=4.5 |
-1.4% | -62.1% | 0.06 | -0.02 | 0.7x | 72 | 40% |
| MACD fast=17, slow=59, signal=14 |
-5.8% | -81.7% | -0.09 | -0.07 | 0.3x | 251 | 52% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-6.8% | -87.8% | -0.14 | -0.08 | 0.2x | 568 | 49% |
| Buy and hold | 0.1% | -80.3% | 0.19 | 0.00 | 1.0x | 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 31-day average price crosses above the 112-day average
- Sell — Sell (to cash) when the 31-day average falls below the 112-day average