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 Keltner 채널 돌파 (CAGR 2.1%, MDD -39.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.1%, drawdown -80.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -50.8%, Sharpe 0.33, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 2.1%, MDD -39.8%, exposure 10%).
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=36, slow=252 |
5.5% | -50.8% | 0.33 | 0.11 | 3.2x | 20 | 44% |
| EMA 크로스오버 fast=30, slow=186 |
4.9% | -56.7% | 0.31 | 0.09 | 2.9x | 30 | 44% |
| Donchian 채널 돌파 entryN=72, exitN=77 |
4.4% | -59.5% | 0.30 | 0.07 | 2.6x | 32 | 48% |
| ADX / DI 방향성 period=27, threshold=26 |
3.0% | -42.2% | 0.27 | 0.07 | 1.9x | 26 | 7% |
| ROC 모멘텀 n=146, threshold=0.12 |
3.5% | -53.5% | 0.26 | 0.07 | 2.1x | 134 | 29% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
2.5% | -40.7% | 0.22 | 0.06 | 1.7x | 58 | 19% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=19, mult=4 |
2.1% | -39.8% | 0.21 | 0.05 | 1.6x | 30 | 10% |
| Supertrend period=30, mult=4.7 |
-0.3% | -60.1% | 0.11 | -0.00 | 0.9x | 64 | 41% |
| MACD fast=16, slow=50, signal=17 |
-5.3% | -78.8% | -0.07 | -0.07 | 0.3x | 236 | 52% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-6.9% | -83.8% | -0.14 | -0.08 | 0.2x | 414 | 49% |
| Buy and hold | -0.1% | -80.3% | 0.18 | -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 36-day average price crosses above the 252-day average
- Sell — Sell (to cash) when the 36-day average falls below the 252-day average