Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Wanguo Gold Group Limited backtest
10 trend-following strategies were compared on the full daily history of Wanguo Gold Group Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.1%, drawdown -66.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.5%, MDD -64.6%, Sharpe 0.69, 54% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=51, slow=219 |
20.5% | -64.6% | 0.69 | 0.32 | 14.0x | 24 | 54% |
| Donchian 채널 돌파 entryN=112, exitN=70 |
18.6% | -73.1% | 0.68 | 0.25 | 11.1x | 14 | 41% |
| 볼린저 밴드 돌파 n=57, k=2.3 |
16.7% | -53.3% | 0.66 | 0.31 | 8.9x | 45 | 30% |
| Supertrend period=9, mult=5 |
18.3% | -79.6% | 0.66 | 0.23 | 10.7x | 29 | 53% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=27, mult=2.4 |
15.5% | -52.4% | 0.63 | 0.30 | 7.7x | 43 | 29% |
| ROC 모멘텀 n=112, threshold=0.1 |
16.9% | -61.3% | 0.63 | 0.28 | 9.1x | 90 | 39% |
| EMA 크로스오버 fast=58, slow=85 |
16.8% | -80.2% | 0.60 | 0.21 | 8.9x | 31 | 56% |
| Parabolic SAR step=0.01, maxStep=0.14 |
12.3% | -69.4% | 0.51 | 0.18 | 5.2x | 161 | 49% |
| ADX / DI 방향성 period=26, threshold=17 |
10.9% | -64.8% | 0.49 | 0.17 | 4.3x | 82 | 35% |
| MACD fast=11, slow=40, signal=17 |
-2.5% | -91.7% | 0.10 | -0.03 | 0.7x | 209 | 50% |
| Buy and hold | 27.1% | -66.3% | 0.75 | 0.41 | 29.8x | 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 51-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 51-day average falls below the 219-day average