Trend-Following Backtester · Guide · backtest 한국어
equity · HK
GDS Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of GDS Holdings Ltd.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.5%, MDD -29.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.1%, drawdown -95.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.4%, MDD -62.7%, Sharpe 0.75, 33% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 40.5%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 13.5%, MDD -29.1%, exposure 12%).
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=26, slow=160 |
25.4% | -62.7% | 0.75 | 0.41 | 3.7x | 2 | 33% |
| SMA 크로스오버 fast=22, slow=216 |
25.2% | -62.7% | 0.74 | 0.40 | 3.7x | 2 | 33% |
| ROC 모멘텀 n=179, threshold=-0.07 |
20.0% | -62.7% | 0.64 | 0.32 | 2.9x | 19 | 35% |
| Donchian 채널 돌파 entryN=88, exitN=72 |
17.9% | -62.7% | 0.60 | 0.28 | 2.6x | 4 | 32% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=12, mult=2.7 |
13.5% | -29.1% | 0.58 | 0.46 | 2.1x | 18 | 12% |
| MACD fast=15, slow=45, signal=16 |
7.3% | -78.3% | 0.40 | 0.09 | 1.5x | 65 | 49% |
| Supertrend period=28, mult=5 |
4.4% | -63.7% | 0.34 | 0.07 | 1.3x | 18 | 38% |
| ADX / DI 방향성 period=24, threshold=13 |
2.9% | -60.6% | 0.29 | 0.05 | 1.2x | 60 | 31% |
| 볼린저 밴드 돌파 n=30, k=2.3 |
2.5% | -38.1% | 0.25 | 0.07 | 1.2x | 26 | 21% |
| Parabolic SAR step=0.06, maxStep=0.4 |
-3.8% | -76.2% | 0.19 | -0.05 | 0.8x | 210 | 49% |
| Buy and hold | -15.1% | -95.5% | 0.20 | -0.16 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 26-day EMA crosses above the 160-day EMA
- Sell — Sell when the 26-day EMA falls below the 160-day EMA