Trend-Following Backtester · Guide · backtest 한국어
equity · HK
HK Electric Investments & HK Electric Investments Ltd. backtest
10 trend-following strategies were compared on the full daily history of HK Electric Investments & HK Electric Investments Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.4%, MDD -25.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.3%, drawdown -48.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -30.8%, Sharpe 0.31, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 17.2%p (CAGR 2.4%, MDD -25.7%, exposure 67%).
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=34, slow=141 |
2.6% | -30.8% | 0.31 | 0.08 | 1.4x | 22 | 57% |
| Donchian 채널 돌파 entryN=47, exitN=81 |
2.4% | -25.7% | 0.29 | 0.09 | 1.4x | 21 | 67% |
| Supertrend period=35, mult=3.5 |
2.2% | -27.0% | 0.27 | 0.08 | 1.3x | 49 | 50% |
| EMA 크로스오버 fast=55, slow=130 |
1.6% | -37.5% | 0.21 | 0.04 | 1.2x | 23 | 62% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=35, mult=2.8 |
1.1% | -24.9% | 0.20 | 0.04 | 1.1x | 32 | 20% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
0.6% | -12.0% | 0.16 | 0.05 | 1.1x | 20 | 7% |
| ROC 모멘텀 n=10, threshold=-0.04 |
0.8% | -43.5% | 0.13 | 0.02 | 1.1x | 95 | 94% |
| ADX / DI 방향성 period=19, threshold=25 |
-1.1% | -26.4% | -0.11 | -0.04 | 0.9x | 72 | 19% |
| MACD fast=23, slow=26, signal=23 |
-1.7% | -50.0% | -0.13 | -0.03 | 0.8x | 130 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.3% | -49.4% | -0.19 | -0.05 | 0.7x | 87 | 50% |
| Buy and hold | 1.3% | -48.0% | 0.16 | 0.03 | 1.2x | 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 34-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 34-day average falls below the 141-day average