Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Hong Kong & China Gas Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hong Kong & China Gas Co. Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.8%, MDD -23.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.3%, drawdown -67.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -23.7%, Sharpe 0.46, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 5.8%, MDD -23.7%, exposure 61%).
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=42, slow=219 |
5.8% | -23.7% | 0.46 | 0.24 | 4.5x | 28 | 61% |
| EMA 크로스오버 fast=54, slow=147 |
4.8% | -30.1% | 0.39 | 0.16 | 3.5x | 32 | 62% |
| ROC 모멘텀 n=153, threshold=-0.09 |
4.4% | -37.7% | 0.35 | 0.12 | 3.2x | 117 | 80% |
| Donchian 채널 돌파 entryN=62, exitN=56 |
3.5% | -36.4% | 0.31 | 0.10 | 2.5x | 51 | 56% |
| Supertrend period=31, mult=3.2 |
0.6% | -51.4% | 0.12 | 0.01 | 1.2x | 143 | 55% |
| 볼린저 밴드 돌파 n=51, k=1.7 |
0.6% | -36.2% | 0.11 | 0.02 | 1.2x | 123 | 39% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=1.8 |
0.5% | -37.9% | 0.10 | 0.01 | 1.1x | 135 | 43% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.0% | -38.4% | 0.07 | -0.00 | 1.0x | 201 | 54% |
| ADX / DI 방향성 period=28, threshold=31 |
0.0% | -9.6% | 0.02 | 0.00 | 1.0x | 12 | 3% |
| MACD fast=15, slow=24, signal=16 |
-1.3% | -52.6% | -0.01 | -0.02 | 0.7x | 341 | 51% |
| Buy and hold | 3.3% | -67.7% | 0.26 | 0.05 | 2.4x | 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 42-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 42-day average falls below the 219-day average