Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Power Assets Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Power Assets Holdings Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.4%, drawdown -56.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.4%, MDD -56.9%, Sharpe 0.27, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
3.4% | -56.9% | 0.27 | 0.06 | 2.4x | 5 | 100% |
| 볼린저 밴드 돌파 n=14, k=3.4 |
0.1% | -1.6% | 0.15 | 0.05 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=37, threshold=24 |
0.5% | -12.7% | 0.13 | 0.04 | 1.1x | 12 | 6% |
| Donchian 채널 돌파 entryN=13, exitN=79 |
0.4% | -63.8% | 0.11 | 0.01 | 1.1x | 75 | 85% |
| SMA 크로스오버 fast=57, slow=213 |
0.2% | -62.1% | 0.09 | 0.00 | 1.1x | 43 | 60% |
| Supertrend period=19, mult=4.9 |
-0.1% | -53.8% | 0.06 | -0.00 | 1.0x | 72 | 53% |
| EMA 크로스오버 fast=53, slow=219 |
-0.7% | -63.9% | 0.03 | -0.01 | 0.8x | 43 | 65% |
| MACD fast=29, slow=45, signal=24 |
-2.9% | -68.2% | -0.15 | -0.04 | 0.5x | 217 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.7% | -74.8% | -0.20 | -0.05 | 0.4x | 217 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=31, mult=4 |
-2.0% | -57.7% | -0.23 | -0.04 | 0.6x | 48 | 13% |
| Buy and hold | 3.4% | -56.7% | 0.27 | 0.06 | 2.4x | 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 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below