Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Want Want China Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Want Want China Holdings Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.6%, MDD -44.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.8%, drawdown -75.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -44.1%, Sharpe 0.27, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 3.6%, MDD -44.1%, exposure 51%).
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=21, slow=210 |
3.6% | -44.1% | 0.27 | 0.08 | 1.9x | 36 | 51% |
| EMA 크로스오버 fast=58, slow=220 |
2.3% | -62.5% | 0.22 | 0.04 | 1.5x | 22 | 51% |
| Donchian 채널 돌파 entryN=95, exitN=68 |
1.6% | -53.8% | 0.18 | 0.03 | 1.3x | 20 | 42% |
| Supertrend period=12, mult=5 |
0.0% | -60.6% | 0.12 | 0.00 | 1.0x | 36 | 58% |
| ADX / DI 방향성 period=15, threshold=28 |
-1.4% | -48.3% | -0.07 | -0.03 | 0.8x | 62 | 11% |
| ROC 모멘텀 n=139, threshold=0.09 |
-3.0% | -65.4% | -0.07 | -0.05 | 0.6x | 162 | 32% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=28, mult=3.2 |
-1.9% | -44.9% | -0.20 | -0.04 | 0.7x | 26 | 6% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-6.7% | -83.5% | -0.20 | -0.08 | 0.3x | 141 | 50% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
-4.0% | -66.6% | -0.21 | -0.06 | 0.5x | 48 | 20% |
| MACD fast=17, slow=46, signal=17 |
-7.6% | -86.1% | -0.26 | -0.09 | 0.2x | 217 | 51% |
| Buy and hold | 0.8% | -75.8% | 0.19 | 0.01 | 1.2x | 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 21-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 21-day average falls below the 210-day average