Trend-Following Backtester · Guide · backtest 한국어
equity · HK
ASMPT Limited backtest
10 trend-following strategies were compared on the full daily history of ASMPT Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.3%, MDD -50.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.5%, drawdown -72.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.3%, MDD -50.2%, Sharpe 0.58, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 14.3%, MDD -50.2%, exposure 55%).
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=56, slow=88 |
14.3% | -50.2% | 0.58 | 0.29 | 33.0x | 71 | 55% |
| Donchian 채널 돌파 entryN=26, exitN=97 |
12.9% | -50.9% | 0.52 | 0.25 | 23.7x | 43 | 75% |
| 볼린저 밴드 돌파 n=80, k=1.8 |
9.2% | -52.6% | 0.46 | 0.17 | 9.8x | 66 | 39% |
| EMA 크로스오버 fast=37, slow=54 |
10.0% | -61.5% | 0.46 | 0.16 | 11.9x | 71 | 54% |
| ROC 모멘텀 n=77, threshold=-0.01 |
9.6% | -66.3% | 0.45 | 0.14 | 10.8x | 291 | 57% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=19, mult=1.2 |
6.5% | -55.3% | 0.37 | 0.12 | 5.2x | 144 | 48% |
| Supertrend period=15, mult=4.4 |
5.9% | -62.2% | 0.34 | 0.10 | 4.5x | 94 | 57% |
| ADX / DI 방향성 period=26, threshold=17 |
3.2% | -52.7% | 0.25 | 0.06 | 2.3x | 164 | 33% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.7% | -70.4% | 0.21 | 0.02 | 1.5x | 408 | 52% |
| MACD fast=8, slow=51, signal=19 |
-4.5% | -91.3% | 0.01 | -0.05 | 0.3x | 414 | 52% |
| Buy and hold | 6.5% | -72.7% | 0.37 | 0.09 | 5.2x | 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 56-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 56-day average falls below the 88-day average