Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Country Garden Services Holdings Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Country Garden Services Holdings Co. Ltd.. 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 3.8%, MDD -22.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.4%, drawdown -95.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.0%, MDD -39.8%, Sharpe 0.83, 40% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.1%, MDD -47.1%, exposure 42%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.4%p higher than buy and hold, while drawdown improves by 55.4%p (CAGR 3.8%, MDD -22.8%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=171 |
21.0% | -39.8% | 0.83 | 0.53 | 4.9x | 4 | 40% |
| SMA 크로스오버 fast=90, slow=211 |
22.1% | -47.1% | 0.83 | 0.47 | 5.2x | 4 | 42% |
| ROC 모멘텀 n=149, threshold=0.08 |
19.4% | -39.8% | 0.75 | 0.49 | 4.3x | 44 | 39% |
| Donchian 채널 돌파 entryN=104, exitN=76 |
11.4% | -57.3% | 0.54 | 0.20 | 2.4x | 6 | 39% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
6.9% | -34.6% | 0.45 | 0.20 | 1.7x | 10 | 12% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=2.3 |
7.2% | -35.5% | 0.40 | 0.20 | 1.8x | 22 | 9% |
| Supertrend period=30, mult=3.1 |
8.2% | -60.0% | 0.40 | 0.14 | 1.9x | 44 | 49% |
| ADX / DI 방향성 period=18, threshold=34 |
3.8% | -22.8% | 0.30 | 0.17 | 1.4x | 10 | 6% |
| MACD fast=14, slow=42, signal=15 |
-4.5% | -81.8% | 0.10 | -0.06 | 0.7x | 108 | 47% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.7% | -70.3% | 0.06 | -0.08 | 0.6x | 70 | 48% |
| Buy and hold | -7.4% | -95.2% | 0.19 | -0.08 | 0.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 171-day EMA
- Sell — Sell when the 58-day EMA falls below the 171-day EMA