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. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -35.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.9%, drawdown -63.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.1%, MDD -8.9%, Sharpe 0.42, 3% exposure.
CAGR reference leader: Supertrend — CAGR 4.3%, MDD -44.6%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 54.0%p (CAGR 3.3%, MDD -35.7%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=26 |
2.1% | -8.9% | 0.42 | 0.24 | 1.1x | 2 | 3% |
| Supertrend period=22, mult=2.7 |
4.3% | -44.6% | 0.30 | 0.10 | 1.3x | 43 | 48% |
| MACD fast=16, slow=47, signal=18 |
3.7% | -54.8% | 0.28 | 0.07 | 1.2x | 59 | 44% |
| Donchian 채널 돌파 entryN=12, exitN=48 |
2.9% | -49.6% | 0.27 | 0.06 | 1.2x | 25 | 71% |
| 볼린저 밴드 돌파 n=28, k=2 |
3.3% | -35.7% | 0.25 | 0.09 | 1.2x | 35 | 27% |
| SMA 크로스오버 fast=20, slow=45 |
1.7% | -59.1% | 0.22 | 0.03 | 1.1x | 33 | 44% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.9% | -48.4% | 0.12 | -0.04 | 0.9x | 47 | 55% |
| ROC 모멘텀 n=46, threshold=-0.03 |
-4.6% | -58.3% | 0.02 | -0.08 | 0.8x | 81 | 52% |
| EMA 크로스오버 fast=15, slow=61 |
-4.0% | -56.4% | 0.02 | -0.07 | 0.8x | 25 | 46% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=2.2 |
-1.5% | -33.2% | -0.02 | -0.04 | 0.9x | 23 | 12% |
| Buy and hold | 2.9% | -63.0% | 0.32 | 0.05 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)