Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Swire Pacific Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Swire Pacific Limited Class A. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.5%, MDD -49.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.4%, drawdown -74.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.3%, MDD -64.3%, Sharpe 0.34, 84% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 9.8%p (CAGR 4.5%, MDD -49.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=109, threshold=-0.15 |
5.3% | -64.3% | 0.34 | 0.08 | 4.0x | 125 | 84% |
| SMA 크로스오버 fast=54, slow=122 |
4.5% | -51.7% | 0.33 | 0.09 | 3.3x | 59 | 54% |
| EMA 크로스오버 fast=29, slow=201 |
4.5% | -49.5% | 0.32 | 0.09 | 3.2x | 43 | 57% |
| Donchian 채널 돌파 entryN=57, exitN=82 |
4.3% | -57.2% | 0.31 | 0.07 | 3.1x | 43 | 61% |
| 볼린저 밴드 돌파 n=48, k=3 |
2.0% | -34.2% | 0.24 | 0.06 | 1.7x | 29 | 11% |
| Supertrend period=11, mult=5 |
2.4% | -73.5% | 0.22 | 0.03 | 1.9x | 77 | 58% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=3.9 |
1.1% | -37.5% | 0.15 | 0.03 | 1.3x | 47 | 15% |
| MACD fast=19, slow=39, signal=10 |
-1.2% | -83.4% | 0.04 | -0.01 | 0.7x | 355 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.4% | -70.9% | 0.03 | -0.02 | 0.7x | 223 | 53% |
| ADX / DI 방향성 period=22, threshold=38 |
-0.1% | -12.9% | -0.02 | -0.01 | 1.0x | 6 | 1% |
| Buy and hold | 3.4% | -74.1% | 0.26 | 0.05 | 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 109-day return is greater than -15%
- Sell — Sell when the 109-day return drops to -15% or below