Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Orient Overseas (International) Limited backtest

10 trend-following strategies were compared on the full daily history of Orient Overseas (International) Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -31.0%).

Data 2004-04-15 ~ 2026-07-31daily bars 5,506 (22.3 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 8.3%, drawdown -89.7%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.9%, MDD -76.4%, Sharpe 0.60, 54% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 7.1%, MDD -31.0%, exposure 11%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=57, slow=68
15.9%-76.4%0.600.2127.1x10854%
Donchian 채널 돌파
entryN=20, exitN=78
14.2%-70.0%0.530.2019.1x5379%
ROC 모멘텀
n=112, threshold=0.1
12.4%-60.4%0.530.2013.5x14941%
Supertrend
period=10, mult=3.3
11.0%-67.9%0.480.1610.3x14151%
볼린저 밴드 돌파
n=28, k=3.2
7.1%-31.0%0.460.234.6x4811%
Parabolic SAR
step=0.01, maxStep=0.22
9.8%-71.3%0.450.148.1x26350%
EMA 크로스오버
fast=9, slow=205
8.7%-76.9%0.420.116.4x5148%
Keltner 채널 돌파
emaPeriod=34, atrPeriod=27, mult=3.9
5.9%-46.2%0.370.133.6x5716%
MACD
fast=24, slow=92, signal=17
6.9%-67.8%0.370.104.4x19351%
ADX / DI 방향성
period=15, threshold=7
2.6%-71.8%0.250.041.8x41351%
Buy and hold8.3%-89.7%0.410.096.0x1100%
1x 10x 2005 2008 2011 2014 2017 2020 2023 2026 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -45% -67% -90% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -76.4% (2022-08-08 → 2024-11-14), prior peak not yet recovered.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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