Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Bosideng International Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Bosideng International Holdings Limited. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.6%, MDD -41.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.2%, drawdown -86.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.7%, MDD -53.5%, Sharpe 0.62, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 8.6%, MDD -41.5%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=9, slow=105 |
15.7% | -53.5% | 0.62 | 0.29 | 15.7x | 54 | 50% |
| SMA 크로스오버 fast=6, slow=141 |
13.0% | -67.9% | 0.54 | 0.19 | 10.0x | 61 | 50% |
| Donchian 채널 돌파 entryN=89, exitN=79 |
11.9% | -63.7% | 0.52 | 0.19 | 8.3x | 21 | 48% |
| ADX / DI 방향성 period=42, threshold=16 |
8.6% | -41.5% | 0.45 | 0.21 | 4.7x | 54 | 22% |
| ROC 모멘텀 n=118, threshold=0.1 |
8.3% | -72.9% | 0.42 | 0.11 | 4.5x | 156 | 37% |
| Supertrend period=19, mult=4.9 |
6.5% | -78.3% | 0.36 | 0.08 | 3.3x | 49 | 52% |
| MACD fast=15, slow=47, signal=24 |
5.4% | -67.4% | 0.33 | 0.08 | 2.7x | 180 | 52% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
5.4% | -57.1% | 0.33 | 0.09 | 2.7x | 184 | 39% |
| Parabolic SAR step=0.01, maxStep=0.22 |
5.3% | -61.4% | 0.32 | 0.09 | 2.6x | 212 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.1 |
4.6% | -68.9% | 0.30 | 0.07 | 2.3x | 78 | 33% |
| Buy and hold | 1.2% | -86.4% | 0.26 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 105-day EMA
- Sell — Sell when the 9-day EMA falls below the 105-day EMA