Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Huishang Bank Corporation Limited Class H backtest
10 trend-following strategies were compared on the full daily history of Huishang Bank Corporation Limited Class H. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -14.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.5%, drawdown -46.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -14.5%, Sharpe 0.43, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -30.9%, exposure 33%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 32.2%p (CAGR 2.7%, MDD -14.5%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=33 |
2.7% | -14.5% | 0.43 | 0.19 | 1.4x | 18 | 8% |
| SMA 크로스오버 fast=59, slow=276 |
4.5% | -30.9% | 0.38 | 0.15 | 1.8x | 13 | 33% |
| EMA 크로스오버 fast=59, slow=216 |
3.2% | -41.4% | 0.29 | 0.08 | 1.5x | 17 | 32% |
| Donchian 채널 돌파 entryN=111, exitN=65 |
2.3% | -39.8% | 0.23 | 0.06 | 1.3x | 9 | 39% |
| ROC 모멘텀 n=29, threshold=0.12 |
1.2% | -21.8% | 0.19 | 0.05 | 1.2x | 38 | 5% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=25, mult=3.9 |
1.1% | -27.9% | 0.17 | 0.04 | 1.2x | 14 | 8% |
| Supertrend period=20, mult=4.6 |
-0.6% | -38.3% | 0.03 | -0.02 | 0.9x | 27 | 41% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
-2.7% | -56.0% | -0.20 | -0.05 | 0.7x | 44 | 15% |
| MACD fast=24, slow=46, signal=30 |
-6.5% | -79.9% | -0.37 | -0.08 | 0.4x | 121 | 54% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-6.8% | -79.3% | -0.38 | -0.09 | 0.4x | 127 | 46% |
| Buy and hold | 3.5% | -46.7% | 0.27 | 0.07 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 17-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)