Trend-Following Backtester · Guide · backtest 한국어
equity · HK
CLP Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of CLP Holdings Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.0%, drawdown -46.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.9%, MDD -27.5%, Sharpe 0.21, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=43, slow=202 |
1.9% | -27.5% | 0.21 | 0.07 | 1.6x | 49 | 59% |
| ADX / DI 방향성 period=45, threshold=27 |
0.3% | -6.9% | 0.19 | 0.05 | 1.1x | 2 | 2% |
| Donchian 채널 돌파 entryN=70, exitN=70 |
1.6% | -28.8% | 0.19 | 0.06 | 1.5x | 41 | 64% |
| EMA 크로스오버 fast=42, slow=110 |
1.5% | -32.2% | 0.18 | 0.05 | 1.5x | 51 | 59% |
| ROC 모멘텀 n=91, threshold=-0.04 |
-1.4% | -62.5% | -0.03 | -0.02 | 0.7x | 227 | 79% |
| Supertrend period=19, mult=5 |
-2.0% | -54.9% | -0.10 | -0.04 | 0.6x | 73 | 55% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
-0.9% | -39.8% | -0.13 | -0.02 | 0.8x | 28 | 9% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=35, mult=3.9 |
-2.3% | -48.7% | -0.24 | -0.05 | 0.5x | 46 | 17% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.7% | -70.5% | -0.24 | -0.05 | 0.4x | 215 | 54% |
| MACD fast=18, slow=52, signal=24 |
-4.1% | -71.3% | -0.29 | -0.06 | 0.3x | 261 | 54% |
| Buy and hold | 3.0% | -46.6% | 0.26 | 0.06 | 2.2x | 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 43-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 43-day average falls below the 202-day average