Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Zhejiang Expressway Co. Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of Zhejiang Expressway Co. Ltd. Class H. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -76.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -61.1%, Sharpe 0.36, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=49, slow=182 |
6.2% | -61.1% | 0.36 | 0.10 | 5.0x | 42 | 57% |
| ROC 모멘텀 n=147, threshold=-0.14 |
5.5% | -71.8% | 0.33 | 0.08 | 4.1x | 103 | 82% |
| EMA 크로스오버 fast=51, slow=209 |
5.2% | -73.0% | 0.32 | 0.07 | 3.9x | 40 | 61% |
| Donchian 채널 돌파 entryN=13, exitN=40 |
3.1% | -69.2% | 0.25 | 0.05 | 2.3x | 113 | 75% |
| 볼린저 밴드 돌파 n=67, k=2.8 |
2.5% | -41.2% | 0.22 | 0.06 | 1.9x | 48 | 22% |
| MACD fast=30, slow=69, signal=23 |
1.5% | -59.3% | 0.19 | 0.03 | 1.5x | 187 | 50% |
| ADX / DI 방향성 period=47, threshold=6 |
0.9% | -70.6% | 0.17 | 0.01 | 1.3x | 261 | 56% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.7% | -65.8% | 0.16 | 0.01 | 1.2x | 204 | 50% |
| Supertrend period=8, mult=3.9 |
0.6% | -62.8% | 0.16 | 0.01 | 1.2x | 103 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=1.6 |
-1.6% | -74.2% | 0.05 | -0.02 | 0.6x | 172 | 39% |
| Buy and hold | 6.8% | -76.2% | 0.36 | 0.09 | 5.8x | 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 49-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 49-day average falls below the 182-day average