Trend-Following Backtester · Guide · backtest 한국어

equity · HK

H World Group Limited backtest

10 trend-following strategies were compared on the full daily history of H World Group Limited. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -8.9%).

Data 2020-09-22 ~ 2026-07-31daily bars 1,437 (5.9 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 1.1%, drawdown -63.0%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -8.9%, Sharpe 0.42, 3% exposure.

CAGR reference leader: Supertrend — CAGR 4.2%, MDD -44.6%, exposure 48%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 54.0%p (CAGR 2.2%, MDD -8.9%, exposure 3%).

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=35, threshold=26
2.2%-8.9%0.420.241.1x23%
Supertrend
period=22, mult=2.7
4.2%-44.6%0.290.091.3x4248%
볼린저 밴드 돌파
n=28, k=2
3.1%-35.7%0.250.091.2x3426%
Donchian 채널 돌파
entryN=12, exitN=48
1.1%-49.6%0.230.021.1x2570%
MACD
fast=16, slow=47, signal=18
1.9%-54.8%0.220.041.1x5944%
SMA 크로스오버
fast=20, slow=45
1.6%-59.1%0.220.031.1x3245%
Parabolic SAR
step=0.005, maxStep=0.32
-1.5%-48.4%0.14-0.030.9x4555%
EMA 크로스오버
fast=15, slow=61
-3.3%-56.4%0.04-0.060.8x2446%
ROC 모멘텀
n=46, threshold=-0.03
-4.5%-58.3%0.03-0.080.8x7853%
Keltner 채널 돌파
emaPeriod=15, atrPeriod=13, mult=2.2
-1.7%-33.2%-0.04-0.050.9x2212%
Buy and hold1.1%-63.0%0.280.021.1x1100%
1x 2021 2022 2023 2024 2025 2026 SupertrendADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -16% -31% -47% -63% 2021 2022 2023 2024 2025 2026 Buy and holdSupertrendADX / DI 방향성
ADX / DI 방향성 maximum drawdown -8.9% (2026-02-27 → 2026-03-09), prior peak not yet recovered.

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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