Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Trip.com Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Trip.com Group Ltd.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -19.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.6%, drawdown -60.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.8%, MDD -37.2%, Sharpe 0.53, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 6.0%, MDD -19.0%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=162, threshold=0.01 |
12.8% | -37.2% | 0.53 | 0.34 | 1.9x | 30 | 53% |
| ADX / DI 방향성 period=17, threshold=25 |
6.0% | -19.0% | 0.45 | 0.32 | 1.4x | 16 | 12% |
| SMA 크로스오버 fast=29, slow=217 |
9.5% | -40.6% | 0.44 | 0.23 | 1.6x | 6 | 57% |
| EMA 크로스오버 fast=58, slow=137 |
9.2% | -30.8% | 0.43 | 0.30 | 1.6x | 8 | 59% |
| Donchian 채널 돌파 entryN=91, exitN=21 |
5.3% | -20.8% | 0.37 | 0.25 | 1.3x | 10 | 20% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=10, mult=4 |
3.4% | -16.5% | 0.32 | 0.21 | 1.2x | 6 | 9% |
| Supertrend period=16, mult=4.2 |
1.9% | -41.7% | 0.24 | 0.05 | 1.1x | 21 | 59% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-0.6% | -64.5% | 0.15 | -0.01 | 1.0x | 114 | 47% |
| 볼린저 밴드 돌파 n=11, k=1.3 |
-0.4% | -47.0% | 0.13 | -0.01 | 1.0x | 106 | 36% |
| MACD fast=19, slow=59, signal=18 |
-3.4% | -55.2% | 0.07 | -0.06 | 0.8x | 49 | 48% |
| Buy and hold | 4.6% | -60.9% | 0.35 | 0.08 | 1.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 162-day return is greater than 1%
- Sell — Sell when the 162-day return drops to 1% or below