Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Hongkong Land Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Hongkong Land Holdings Limited. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.6%, MDD -40.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.2%, drawdown -67.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.6%, MDD -40.1%, Sharpe 0.55, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 11.6%, MDD -40.1%, exposure 57%).
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=54, slow=67 |
11.6% | -40.1% | 0.55 | 0.29 | 18.6x | 46 | 57% |
| SMA 크로스오버 fast=21, slow=114 |
11.4% | -40.6% | 0.55 | 0.28 | 17.7x | 62 | 55% |
| Donchian 채널 돌파 entryN=91, exitN=79 |
11.1% | -42.3% | 0.54 | 0.26 | 16.5x | 32 | 53% |
| Supertrend period=12, mult=5 |
9.3% | -42.3% | 0.46 | 0.22 | 10.6x | 65 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=1.9 |
8.2% | -46.8% | 0.44 | 0.17 | 8.0x | 121 | 42% |
| ADX / DI 방향성 period=29, threshold=11 |
6.5% | -59.4% | 0.37 | 0.11 | 5.4x | 287 | 49% |
| ROC 모멘텀 n=81, threshold=-0.09 |
6.8% | -82.2% | 0.37 | 0.08 | 5.8x | 181 | 77% |
| MACD fast=28, slow=71, signal=38 |
5.6% | -53.5% | 0.36 | 0.10 | 4.2x | 147 | 49% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
4.1% | -37.1% | 0.32 | 0.11 | 2.9x | 115 | 31% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.6% | -61.8% | 0.18 | 0.03 | 1.5x | 197 | 52% |
| Buy and hold | 8.2% | -67.7% | 0.40 | 0.12 | 8.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 67-day EMA
- Sell — Sell when the 54-day EMA falls below the 67-day EMA