Trend-Following Backtester · Guide · backtest 한국어
equity · HK
MGM China Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of MGM China Holdings Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -16.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.1%, drawdown -91.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -49.7%, Sharpe 0.51, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 1.3%, MDD -16.7%, exposure 2%).
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=56, slow=187 |
10.6% | -49.7% | 0.51 | 0.21 | 4.6x | 16 | 49% |
| ROC 모멘텀 n=112, threshold=0.03 |
9.4% | -54.7% | 0.47 | 0.17 | 3.9x | 120 | 46% |
| Donchian 채널 돌파 entryN=87, exitN=72 |
8.9% | -57.3% | 0.46 | 0.15 | 3.6x | 20 | 44% |
| EMA 크로스오버 fast=58, slow=140 |
8.1% | -55.0% | 0.43 | 0.15 | 3.2x | 16 | 46% |
| 볼린저 밴드 돌파 n=16, k=2.9 |
3.6% | -26.8% | 0.33 | 0.13 | 1.7x | 33 | 9% |
| ADX / DI 방향성 period=15, threshold=47 |
1.3% | -16.7% | 0.21 | 0.08 | 1.2x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=3.6 |
2.1% | -51.4% | 0.20 | 0.04 | 1.4x | 38 | 21% |
| MACD fast=18, slow=25, signal=11 |
1.0% | -72.0% | 0.19 | 0.01 | 1.2x | 211 | 50% |
| Supertrend period=20, mult=4.4 |
1.3% | -66.7% | 0.19 | 0.02 | 1.2x | 52 | 49% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-3.5% | -80.8% | 0.03 | -0.04 | 0.6x | 303 | 50% |
| Buy and hold | -2.1% | -91.3% | 0.18 | -0.02 | 0.7x | 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 56-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 56-day average falls below the 187-day average