Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Smoore International Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Smoore International Holdings Limited. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.2%, MDD -32.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.2%, drawdown -94.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 18.0%, MDD -53.0%, Sharpe 0.61, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 36.3%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 6.2%, MDD -32.7%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.04 |
18.0% | -53.0% | 0.61 | 0.34 | 2.7x | 51 | 42% |
| EMA 크로스오버 fast=42, slow=76 |
15.3% | -56.2% | 0.57 | 0.27 | 2.4x | 6 | 34% |
| ROC 모멘텀 n=95, threshold=-0.02 |
14.5% | -57.7% | 0.55 | 0.25 | 2.3x | 30 | 37% |
| SMA 크로스오버 fast=57, slow=175 |
12.6% | -46.3% | 0.53 | 0.27 | 2.1x | 4 | 28% |
| 볼린저 밴드 돌파 n=40, k=2.5 |
10.2% | -46.6% | 0.49 | 0.22 | 1.8x | 16 | 20% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=3.4 |
8.7% | -37.6% | 0.44 | 0.23 | 1.7x | 12 | 22% |
| Supertrend period=28, mult=2.9 |
8.6% | -48.7% | 0.41 | 0.18 | 1.6x | 35 | 35% |
| ADX / DI 방향성 period=30, threshold=24 |
6.2% | -32.7% | 0.39 | 0.19 | 1.4x | 8 | 11% |
| Donchian 채널 돌파 entryN=79, exitN=48 |
2.8% | -61.2% | 0.26 | 0.05 | 1.2x | 8 | 32% |
| MACD fast=13, slow=42, signal=16 |
-9.8% | -78.8% | 0.03 | -0.12 | 0.5x | 71 | 48% |
| Buy and hold | -18.2% | -94.4% | 0.02 | -0.19 | 0.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots