Trend-Following Backtester · Guide · backtest 한국어
equity · HK
PICC Property & Casualty Co., Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of PICC Property & Casualty Co., Ltd. Class H. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.1%, MDD -58.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.0%, drawdown -89.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -58.0%, Sharpe 0.54, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 12.1%, MDD -58.0%, exposure 55%).
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=26, slow=170 |
12.1% | -58.0% | 0.54 | 0.21 | 13.6x | 35 | 55% |
| Donchian 채널 돌파 entryN=99, exitN=67 |
10.4% | -53.5% | 0.51 | 0.19 | 9.6x | 27 | 49% |
| EMA 크로스오버 fast=21, slow=146 |
10.1% | -60.3% | 0.48 | 0.17 | 9.0x | 45 | 55% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=15, mult=2.8 |
8.1% | -61.5% | 0.44 | 0.13 | 5.9x | 57 | 36% |
| 볼린저 밴드 돌파 n=48, k=1.2 |
6.3% | -58.9% | 0.37 | 0.11 | 4.0x | 145 | 41% |
| ROC 모멘텀 n=48, threshold=-0.06 |
4.7% | -81.2% | 0.30 | 0.06 | 2.8x | 317 | 70% |
| Supertrend period=24, mult=3.4 |
3.4% | -77.1% | 0.26 | 0.04 | 2.1x | 123 | 49% |
| Parabolic SAR step=0.01, maxStep=0.08 |
3.2% | -64.3% | 0.25 | 0.05 | 2.0x | 260 | 52% |
| MACD fast=37, slow=47, signal=30 |
2.9% | -75.8% | 0.25 | 0.04 | 1.9x | 157 | 52% |
| ADX / DI 방향성 period=38, threshold=22 |
1.4% | -40.7% | 0.17 | 0.03 | 1.4x | 28 | 8% |
| Buy and hold | 11.0% | -89.4% | 0.46 | 0.12 | 10.7x | 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 26-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 26-day average falls below the 170-day average