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. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 57.8%, MDD -48.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 54.8%, drawdown -73.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 57.8%, MDD -48.5%, Sharpe 1.09, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 57.8%, MDD -48.5%, exposure 64%).
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 |
57.8% | -48.5% | 1.09 | 1.19 | 49.3x | 14 | 64% |
| ADX / DI 방향성 period=10, threshold=45 |
24.8% | -28.4% | 1.01 | 0.87 | 6.6x | 22 | 11% |
| EMA 크로스오버 fast=32, slow=131 |
50.4% | -51.6% | 1.01 | 0.98 | 32.7x | 12 | 61% |
| Donchian 채널 돌파 entryN=32, exitN=37 |
48.5% | -63.5% | 1.00 | 0.76 | 29.4x | 18 | 61% |
| ROC 모멘텀 n=96, threshold=0.05 |
43.6% | -54.2% | 0.95 | 0.81 | 22.0x | 84 | 56% |
| Supertrend period=14, mult=2.2 |
34.7% | -54.8% | 0.86 | 0.63 | 12.7x | 83 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=0.9 |
34.9% | -61.0% | 0.86 | 0.57 | 12.9x | 60 | 47% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
33.5% | -53.3% | 0.85 | 0.63 | 11.8x | 42 | 44% |
| MACD fast=16, slow=28, signal=10 |
32.1% | -54.2% | 0.82 | 0.59 | 10.8x | 143 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
24.6% | -59.7% | 0.70 | 0.41 | 6.6x | 105 | 49% |
| Buy and hold | 54.8% | -73.7% | 0.99 | 0.74 | 41.9x | 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