Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Sands China Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sands China Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -48.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.8%, drawdown -80.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -48.8%, Sharpe 0.42, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 8.5%, MDD -48.8%, exposure 54%).
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=152 |
8.5% | -48.8% | 0.42 | 0.17 | 3.9x | 30 | 54% |
| EMA 크로스오버 fast=40, slow=122 |
4.8% | -63.0% | 0.31 | 0.08 | 2.2x | 30 | 53% |
| ROC 모멘텀 n=165, threshold=-0.07 |
1.9% | -70.7% | 0.22 | 0.03 | 1.4x | 110 | 61% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=27, mult=3.2 |
0.8% | -35.1% | 0.13 | 0.02 | 1.1x | 46 | 20% |
| ADX / DI 방향성 period=19, threshold=35 |
0.5% | -11.8% | 0.11 | 0.04 | 1.1x | 8 | 2% |
| Donchian 채널 돌파 entryN=16, exitN=68 |
-2.4% | -88.7% | 0.11 | -0.03 | 0.7x | 51 | 76% |
| Supertrend period=23, mult=1.6 |
-0.9% | -67.0% | 0.11 | -0.01 | 0.9x | 271 | 50% |
| 볼린저 밴드 돌파 n=23, k=3.4 |
0.2% | -20.4% | 0.06 | 0.01 | 1.0x | 4 | 1% |
| MACD fast=19, slow=56, signal=16 |
-3.3% | -81.8% | 0.04 | -0.04 | 0.6x | 169 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.9% | -84.0% | 0.02 | -0.05 | 0.5x | 267 | 51% |
| Buy and hold | 2.8% | -80.6% | 0.28 | 0.03 | 1.6x | 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 152-day average
- Sell — Sell (to cash) when the 57-day average falls below the 152-day average