Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Fosun International Limited backtest
10 trend-following strategies were compared on the full daily history of Fosun International Limited. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.9%, MDD -37.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.0%, drawdown -91.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -62.8%, Sharpe 0.40, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 4.9%, MDD -37.4%, exposure 13%).
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=15, slow=40 |
7.4% | -62.8% | 0.40 | 0.12 | 3.9x | 121 | 47% |
| ADX / DI 방향성 period=25, threshold=23 |
4.9% | -37.4% | 0.39 | 0.13 | 2.5x | 50 | 13% |
| Donchian 채널 돌파 entryN=28, exitN=19 |
6.3% | -60.8% | 0.37 | 0.10 | 3.2x | 79 | 42% |
| 볼린저 밴드 돌파 n=32, k=2.3 |
5.3% | -43.4% | 0.35 | 0.12 | 2.7x | 73 | 22% |
| EMA 크로스오버 fast=13, slow=118 |
5.5% | -65.3% | 0.34 | 0.08 | 2.8x | 65 | 44% |
| Supertrend period=22, mult=2.8 |
5.5% | -54.4% | 0.33 | 0.10 | 2.8x | 115 | 48% |
| MACD fast=16, slow=50, signal=16 |
4.2% | -62.8% | 0.29 | 0.07 | 2.2x | 203 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=30, mult=2.9 |
3.3% | -44.0% | 0.27 | 0.08 | 1.9x | 57 | 19% |
| Parabolic SAR step=0.01, maxStep=0.08 |
2.6% | -60.5% | 0.23 | 0.04 | 1.6x | 213 | 48% |
| ROC 모멘텀 n=149, threshold=0.03 |
2.5% | -71.2% | 0.22 | 0.03 | 1.6x | 137 | 40% |
| Buy and hold | -4.0% | -91.8% | 0.10 | -0.04 | 0.5x | 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 15-day average price crosses above the 40-day average
- Sell — Sell (to cash) when the 15-day average falls below the 40-day average