Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Gas Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of China Gas Holdings Limited. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.2%, MDD -31.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.4%, drawdown -87.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.8%, MDD -63.8%, Sharpe 0.55, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 8.2%, MDD -31.7%, exposure 17%).
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=45, slow=68 |
12.8% | -63.8% | 0.55 | 0.20 | 18.1x | 56 | 51% |
| SMA 크로스오버 fast=27, slow=165 |
12.1% | -57.4% | 0.53 | 0.21 | 15.4x | 42 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
12.1% | -56.6% | 0.53 | 0.21 | 15.5x | 177 | 49% |
| Donchian 채널 돌파 entryN=24, exitN=22 |
12.1% | -58.4% | 0.52 | 0.21 | 15.7x | 107 | 51% |
| ROC 모멘텀 n=109, threshold=0.18 |
9.9% | -47.8% | 0.51 | 0.21 | 9.8x | 160 | 29% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=13, mult=4 |
8.2% | -31.7% | 0.51 | 0.26 | 6.7x | 40 | 17% |
| Supertrend period=20, mult=3.6 |
11.3% | -62.7% | 0.50 | 0.18 | 13.0x | 111 | 49% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
7.7% | -43.4% | 0.48 | 0.18 | 6.0x | 44 | 16% |
| ADX / DI 방향성 period=17, threshold=24 |
7.1% | -53.2% | 0.43 | 0.13 | 5.2x | 131 | 22% |
| MACD fast=14, slow=49, signal=17 |
7.4% | -86.9% | 0.39 | 0.09 | 5.6x | 275 | 50% |
| Buy and hold | 6.4% | -87.7% | 0.36 | 0.07 | 4.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 68-day EMA
- Sell — Sell when the 45-day EMA falls below the 68-day EMA