Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Haw Par Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Haw Par Corporation Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -27.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.4%, drawdown -60.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -30.3%, Sharpe 0.60, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.0%, MDD -29.6%, exposure 76%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 8.3%, MDD -27.2%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=189 |
8.4% | -30.3% | 0.60 | 0.28 | 8.7x | 32 | 67% |
| Donchian 채널 돌파 entryN=65, exitN=138 |
9.0% | -29.6% | 0.59 | 0.31 | 10.1x | 23 | 76% |
| EMA 크로스오버 fast=49, slow=115 |
8.3% | -27.2% | 0.59 | 0.31 | 8.4x | 32 | 68% |
| ROC 모멘텀 n=86, threshold=-0.04 |
6.3% | -40.2% | 0.44 | 0.16 | 5.1x | 166 | 77% |
| Supertrend period=28, mult=5 |
5.5% | -44.3% | 0.42 | 0.12 | 4.2x | 74 | 60% |
| 볼린저 밴드 돌파 n=26, k=2.4 |
3.6% | -23.4% | 0.38 | 0.15 | 2.6x | 134 | 27% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=14, mult=3.2 |
3.6% | -23.9% | 0.36 | 0.15 | 2.5x | 82 | 29% |
| ADX / DI 방향성 period=21, threshold=33 |
1.3% | -26.5% | 0.22 | 0.05 | 1.4x | 52 | 11% |
| MACD fast=24, slow=57, signal=24 |
1.5% | -35.7% | 0.17 | 0.04 | 1.5x | 214 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.4% | -54.3% | -0.01 | -0.03 | 0.7x | 410 | 54% |
| Buy and hold | 6.4% | -60.9% | 0.40 | 0.11 | 5.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 30-day average falls below the 189-day average