Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Guangdong Investment Limited backtest
10 trend-following strategies were compared on the full daily history of Guangdong Investment Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.7%, MDD -39.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.9%, drawdown -80.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.7%, MDD -39.3%, Sharpe 0.46, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 8.7%, MDD -39.3%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=219 |
8.7% | -39.3% | 0.46 | 0.22 | 9.1x | 29 | 62% |
| SMA 크로스오버 fast=54, slow=191 |
8.4% | -47.8% | 0.45 | 0.18 | 8.5x | 33 | 61% |
| Donchian 채널 돌파 entryN=51, exitN=67 |
7.3% | -51.5% | 0.40 | 0.14 | 6.5x | 45 | 61% |
| ROC 모멘텀 n=132, threshold=-0.11 |
6.5% | -67.4% | 0.36 | 0.10 | 5.4x | 143 | 77% |
| Supertrend period=43, mult=2.6 |
4.6% | -68.7% | 0.30 | 0.07 | 3.3x | 179 | 55% |
| ADX / DI 방향성 period=34, threshold=30 |
1.3% | -16.6% | 0.20 | 0.08 | 1.4x | 12 | 3% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
1.4% | -21.7% | 0.19 | 0.06 | 1.4x | 20 | 4% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=15, mult=3.9 |
0.5% | -26.1% | 0.10 | 0.02 | 1.2x | 18 | 4% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-5.3% | -94.7% | -0.08 | -0.06 | 0.2x | 427 | 51% |
| MACD fast=20, slow=51, signal=12 |
-6.1% | -94.1% | -0.12 | -0.07 | 0.2x | 335 | 49% |
| Buy and hold | 7.9% | -80.6% | 0.39 | 0.10 | 7.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 219-day EMA
- Sell — Sell when the 56-day EMA falls below the 219-day EMA