Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Longfor Group Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Longfor Group Holdings Ltd.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.5%, MDD -31.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.4%, drawdown -88.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.4%, MDD -63.6%, Sharpe 0.22, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 0.5%, MDD -31.4%, exposure 0%).
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=33, slow=193 |
2.4% | -63.6% | 0.22 | 0.04 | 1.5x | 26 | 48% |
| Supertrend period=9, mult=2.2 |
1.6% | -59.3% | 0.21 | 0.03 | 1.3x | 155 | 54% |
| EMA 크로스오버 fast=68, slow=106 |
1.6% | -62.9% | 0.19 | 0.03 | 1.3x | 26 | 49% |
| ROC 모멘텀 n=156, threshold=0 |
1.2% | -65.7% | 0.18 | 0.02 | 1.2x | 104 | 51% |
| MACD fast=11, slow=21, signal=10 |
0.2% | -58.8% | 0.17 | 0.00 | 1.0x | 319 | 49% |
| Parabolic SAR step=0.035, maxStep=0.24 |
0.2% | -62.5% | 0.17 | 0.00 | 1.0x | 483 | 48% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
0.9% | -40.4% | 0.13 | 0.02 | 1.2x | 18 | 7% |
| ADX / DI 방향성 period=14, threshold=14 |
-1.5% | -70.6% | 0.11 | -0.02 | 0.8x | 322 | 48% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=3.6 |
0.5% | -31.4% | 0.10 | 0.02 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=60, exitN=74 |
-1.5% | -63.5% | 0.10 | -0.02 | 0.8x | 22 | 61% |
| Buy and hold | -1.4% | -88.8% | 0.20 | -0.02 | 0.8x | 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 33-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 33-day average falls below the 193-day average