Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Reinsurance (Group) Corp. Class H backtest
10 trend-following strategies were compared on the full daily history of China Reinsurance (Group) Corp. Class H. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -40.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -85.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -40.3%, Sharpe 0.58, 16% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 16.4%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 5.2%, MDD -40.3%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=116, threshold=0.2 |
9.5% | -40.3% | 0.58 | 0.24 | 2.7x | 26 | 16% |
| EMA 크로스오버 fast=27, slow=327 |
7.7% | -40.3% | 0.46 | 0.19 | 2.2x | 4 | 21% |
| Donchian 채널 돌파 entryN=154, exitN=73 |
6.9% | -40.3% | 0.42 | 0.17 | 2.1x | 6 | 22% |
| Supertrend period=8, mult=1.8 |
5.5% | -54.9% | 0.34 | 0.10 | 1.8x | 101 | 42% |
| SMA 크로스오버 fast=72, slow=148 |
5.2% | -40.3% | 0.34 | 0.13 | 1.7x | 16 | 35% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=29, mult=1.5 |
2.5% | -47.7% | 0.23 | 0.05 | 1.3x | 66 | 18% |
| MACD fast=6, slow=60, signal=11 |
1.0% | -70.1% | 0.17 | 0.01 | 1.1x | 177 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
0.8% | -62.7% | 0.16 | 0.01 | 1.1x | 197 | 44% |
| 볼린저 밴드 돌파 n=37, k=1.2 |
0.2% | -64.7% | 0.12 | 0.00 | 1.0x | 82 | 31% |
| ADX / DI 방향성 period=28, threshold=18 |
-0.7% | -45.0% | 0.06 | -0.01 | 0.9x | 48 | 18% |
| Buy and hold | -6.9% | -85.8% | -0.05 | -0.08 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 116-day return is greater than 20%
- Sell — Sell when the 116-day return drops to 20% or below