Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huaneng Lancang River Hydropower Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Huaneng Lancang River Hydropower Co Ltd Class A. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.8%, MDD -29.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.6%, drawdown -62.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.7%, MDD -31.7%, Sharpe 0.68, 77% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 8.8%, MDD -29.3%, exposure 58%).
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=99, threshold=-0.08 |
13.7% | -31.7% | 0.68 | 0.43 | 3.0x | 33 | 77% |
| Donchian 채널 돌파 entryN=29, exitN=61 |
10.3% | -34.7% | 0.55 | 0.30 | 2.3x | 17 | 69% |
| EMA 크로스오버 fast=32, slow=45 |
9.4% | -37.5% | 0.54 | 0.25 | 2.2x | 23 | 57% |
| Supertrend period=19, mult=4.9 |
8.8% | -29.3% | 0.52 | 0.30 | 2.1x | 19 | 58% |
| 볼린저 밴드 돌파 n=57, k=0.8 |
8.0% | -31.6% | 0.50 | 0.25 | 1.9x | 48 | 46% |
| SMA 크로스오버 fast=27, slow=155 |
7.8% | -46.4% | 0.46 | 0.17 | 1.9x | 19 | 63% |
| ADX / DI 방향성 period=48, threshold=12 |
6.5% | -37.6% | 0.41 | 0.17 | 1.7x | 38 | 52% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=21, mult=2.5 |
3.4% | -31.9% | 0.29 | 0.11 | 1.3x | 38 | 29% |
| MACD fast=11, slow=55, signal=24 |
2.7% | -42.0% | 0.24 | 0.06 | 1.3x | 82 | 51% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-1.8% | -50.8% | 0.02 | -0.04 | 0.9x | 176 | 49% |
| Buy and hold | 7.6% | -62.3% | 0.41 | 0.12 | 1.9x | 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 99-day return is greater than -8%
- Sell — Sell when the 99-day return drops to -8% or below