Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Time Interconnect Technology Limited backtest
10 trend-following strategies were compared on the full daily history of Time Interconnect Technology Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 58.5%, MDD -48.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 50.0%, drawdown -73.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 58.5%, MDD -48.5%, Sharpe 1.09, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 58.5%, MDD -48.5%, exposure 65%).
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=57, slow=125 |
58.5% | -48.5% | 1.09 | 1.21 | 49.3x | 14 | 65% |
| ADX / DI 방향성 period=10, threshold=45 |
25.0% | -28.4% | 1.02 | 0.88 | 6.6x | 22 | 11% |
| EMA 크로스오버 fast=32, slow=131 |
51.0% | -51.6% | 1.02 | 0.99 | 32.7x | 12 | 61% |
| Donchian 채널 돌파 entryN=32, exitN=37 |
49.1% | -63.5% | 1.00 | 0.77 | 29.4x | 18 | 61% |
| ROC 모멘텀 n=96, threshold=0.05 |
43.7% | -53.6% | 0.95 | 0.82 | 21.5x | 82 | 56% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=0.9 |
37.8% | -54.5% | 0.90 | 0.69 | 15.0x | 58 | 48% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
33.9% | -53.3% | 0.86 | 0.64 | 11.8x | 42 | 44% |
| Supertrend period=14, mult=2.2 |
32.9% | -54.8% | 0.83 | 0.60 | 11.1x | 82 | 51% |
| MACD fast=16, slow=28, signal=10 |
29.5% | -53.2% | 0.78 | 0.55 | 8.9x | 142 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
22.7% | -59.7% | 0.67 | 0.38 | 5.6x | 104 | 48% |
| Buy and hold | 50.0% | -73.7% | 0.94 | 0.68 | 30.9x | 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 57-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 57-day average falls below the 125-day average