Trend-Following Backtester · Guide · backtest 한국어

equity · HK

China Resources Power Holdings Co. Ltd. backtest

10 trend-following strategies were compared on the full daily history of China Resources Power Holdings Co. Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 2003-11-12 ~ 2026-07-31daily bars 5,617 (22.7 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.0%, drawdown -77.9%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.0%, MDD -37.0%, Sharpe 0.43, 13% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 8.0%, MDD -65.4%, exposure 54%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=29, threshold=22
6.0%-37.0%0.430.163.8x4413%
SMA 크로스오버
fast=37, slow=60
8.0%-65.4%0.410.125.8x9854%
볼린저 밴드 돌파
n=15, k=3.3
2.3%-18.8%0.370.121.7x61%
Donchian 채널 돌파
entryN=26, exitN=51
5.2%-61.1%0.320.093.2x7063%
Supertrend
period=10, mult=2.8
4.5%-68.9%0.300.062.7x15754%
ROC 모멘텀
n=61, threshold=-0.05
2.7%-72.7%0.240.041.8x25968%
EMA 크로스오버
fast=57, slow=159
2.8%-78.5%0.240.041.9x4049%
Parabolic SAR
step=0.005, maxStep=0.36
1.2%-68.5%0.190.021.3x18554%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=32, mult=3.1
0.3%-64.8%0.110.001.1x6616%
MACD
fast=12, slow=58, signal=17
-5.3%-80.4%-0.07-0.070.3x30750%
Buy and hold9.0%-77.9%0.420.127.1x1100%
1x 10x 2004 2007 2010 2013 2016 2019 2022 2025 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -19% -39% -58% -78% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -37.0% (2004-04-12 → 2006-03-08), recovered after 932 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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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