Trend-Following Backtester · Guide · backtest 한국어
equity · HK
BYD Electronic (International) Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of BYD Electronic (International) Co., Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.0%, MDD -51.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.1%, drawdown -90.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.8%, MDD -57.4%, Sharpe 0.65, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 18.0%, MDD -51.6%, exposure 47%).
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=11, slow=81 |
19.8% | -57.4% | 0.65 | 0.34 | 28.8x | 64 | 50% |
| Donchian 채널 돌파 entryN=22, exitN=45 |
19.5% | -67.2% | 0.62 | 0.29 | 27.5x | 52 | 64% |
| Parabolic SAR step=0.05, maxStep=0.08 |
19.3% | -70.5% | 0.61 | 0.27 | 26.5x | 352 | 48% |
| ROC 모멘텀 n=52, threshold=-0.03 |
18.3% | -67.7% | 0.60 | 0.27 | 22.7x | 224 | 56% |
| Supertrend period=28, mult=2.8 |
18.0% | -51.6% | 0.59 | 0.35 | 21.9x | 119 | 47% |
| MACD fast=7, slow=57, signal=19 |
16.4% | -59.3% | 0.55 | 0.28 | 17.0x | 241 | 50% |
| 볼린저 밴드 돌파 n=21, k=1.2 |
13.5% | -71.1% | 0.53 | 0.19 | 10.6x | 223 | 39% |
| ADX / DI 방향성 period=12, threshold=14 |
14.6% | -66.8% | 0.52 | 0.22 | 12.6x | 351 | 47% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=2.7 |
12.3% | -55.6% | 0.51 | 0.22 | 8.6x | 66 | 31% |
| EMA 크로스오버 fast=41, slow=132 |
11.5% | -68.1% | 0.47 | 0.17 | 7.6x | 34 | 52% |
| Buy and hold | 4.1% | -90.6% | 0.36 | 0.05 | 2.1x | 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 11-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 11-day average falls below the 81-day average