Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Housing & Urban Development Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Housing & Urban Development Corp. Ltd.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.6%, MDD -28.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.4%, drawdown -80.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.1%, MDD -38.5%, Sharpe 0.74, 33% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 42.2%p (CAGR 15.6%, MDD -28.2%, exposure 18%).
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=174, threshold=0.11 |
19.1% | -38.5% | 0.74 | 0.49 | 5.1x | 36 | 33% |
| 볼린저 밴드 돌파 n=62, k=3.4 |
15.6% | -28.2% | 0.72 | 0.55 | 3.9x | 8 | 18% |
| Donchian 채널 돌파 entryN=117, exitN=65 |
16.6% | -35.5% | 0.70 | 0.47 | 4.1x | 6 | 23% |
| ADX / DI 방향성 period=39, threshold=20 |
14.6% | -32.8% | 0.66 | 0.44 | 3.5x | 20 | 23% |
| SMA 크로스오버 fast=45, slow=155 |
16.6% | -47.9% | 0.64 | 0.35 | 4.2x | 15 | 49% |
| EMA 크로스오버 fast=14, slow=30 |
15.7% | -65.3% | 0.60 | 0.24 | 3.9x | 58 | 50% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=13, mult=1.6 |
14.5% | -47.6% | 0.60 | 0.30 | 3.5x | 50 | 35% |
| MACD fast=17, slow=62, signal=9 |
13.1% | -52.9% | 0.55 | 0.25 | 3.1x | 114 | 49% |
| Supertrend period=21, mult=4.8 |
12.5% | -52.4% | 0.52 | 0.24 | 3.0x | 28 | 49% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.7% | -65.1% | 0.27 | 0.06 | 1.4x | 118 | 49% |
| Buy and hold | 10.4% | -80.7% | 0.44 | 0.13 | 2.5x | 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 174-day return is greater than 11%
- Sell — Sell when the 174-day return drops to 11% or below