Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Galaxy Entertainment Group Limited backtest
10 trend-following strategies were compared on the full daily history of Galaxy Entertainment Group Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.8%, MDD -51.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 16.1%, drawdown -94.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.3%, MDD -73.9%, Sharpe 0.78, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 15.8%, MDD -51.6%, exposure 23%).
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=22, slow=115 |
24.3% | -73.9% | 0.78 | 0.33 | 327.9x | 65 | 53% |
| Donchian 채널 돌파 entryN=58, exitN=43 |
21.2% | -69.4% | 0.72 | 0.31 | 167.1x | 55 | 50% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
18.7% | -57.9% | 0.69 | 0.32 | 97.2x | 75 | 32% |
| ROC 모멘텀 n=69, threshold=0.01 |
20.4% | -63.3% | 0.69 | 0.32 | 140.4x | 305 | 53% |
| EMA 크로스오버 fast=23, slow=76 |
19.8% | -68.5% | 0.68 | 0.29 | 123.5x | 87 | 53% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=15, mult=2.5 |
18.3% | -72.2% | 0.68 | 0.25 | 88.1x | 89 | 39% |
| ADX / DI 방향성 period=32, threshold=20 |
15.8% | -51.6% | 0.63 | 0.31 | 50.5x | 73 | 23% |
| Supertrend period=25, mult=3.6 |
16.5% | -83.0% | 0.60 | 0.20 | 58.8x | 135 | 55% |
| Parabolic SAR step=0.015, maxStep=0.28 |
10.8% | -64.5% | 0.47 | 0.17 | 15.4x | 409 | 52% |
| MACD fast=17, slow=33, signal=19 |
10.8% | -71.4% | 0.46 | 0.15 | 15.3x | 303 | 50% |
| Buy and hold | 16.1% | -94.5% | 0.55 | 0.17 | 53.9x | 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 22-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 22-day average falls below the 115-day average