Trend-Following Backtester · Guide · backtest 한국어
equity · HK
SITC International Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of SITC International Holdings Co., Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 19.6%, MDD -40.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.9%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.8%, MDD -66.7%, Sharpe 0.80, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 5.6%p (CAGR 19.6%, MDD -40.0%, exposure 62%).
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=41, slow=61 |
21.8% | -66.7% | 0.80 | 0.33 | 23.1x | 67 | 60% |
| EMA 크로스오버 fast=27, slow=172 |
19.6% | -40.0% | 0.75 | 0.49 | 17.2x | 21 | 62% |
| 볼린저 밴드 돌파 n=90, k=2 |
13.7% | -37.3% | 0.65 | 0.37 | 7.7x | 37 | 42% |
| ROC 모멘텀 n=54, threshold=-0.05 |
16.9% | -69.6% | 0.64 | 0.24 | 12.0x | 171 | 70% |
| Donchian 채널 돌파 entryN=11, exitN=42 |
17.4% | -64.5% | 0.63 | 0.27 | 12.9x | 51 | 80% |
| Supertrend period=29, mult=4.8 |
11.1% | -66.7% | 0.51 | 0.17 | 5.3x | 41 | 56% |
| ADX / DI 방향성 period=38, threshold=28 |
4.6% | -15.6% | 0.51 | 0.29 | 2.0x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=27, mult=3.9 |
4.2% | -40.2% | 0.33 | 0.10 | 1.9x | 31 | 16% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.2% | -60.9% | 0.23 | 0.04 | 1.4x | 129 | 54% |
| MACD fast=11, slow=51, signal=18 |
-0.3% | -63.8% | 0.14 | -0.01 | 0.9x | 205 | 51% |
| Buy and hold | 15.9% | -72.3% | 0.57 | 0.22 | 10.5x | 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 41-day average price crosses above the 61-day average
- Sell — Sell (to cash) when the 41-day average falls below the 61-day average