Trend-Following Backtester · Guide · backtest 한국어
equity · HK
ENN Energy Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of ENN Energy Holdings Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.1%, MDD -48.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -77.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -48.6%, Sharpe 0.56, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 28.5%p (CAGR 13.1%, MDD -48.6%, exposure 60%).
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=18, slow=74 |
13.1% | -48.6% | 0.56 | 0.27 | 22.3x | 96 | 60% |
| EMA 크로스오버 fast=25, slow=90 |
12.1% | -52.1% | 0.52 | 0.23 | 17.7x | 60 | 65% |
| Donchian 채널 돌파 entryN=11, exitN=38 |
12.8% | -60.0% | 0.52 | 0.21 | 20.9x | 103 | 79% |
| Supertrend period=27, mult=4.9 |
10.7% | -54.8% | 0.48 | 0.19 | 12.9x | 64 | 64% |
| ROC 모멘텀 n=139, threshold=-0.06 |
6.9% | -79.7% | 0.37 | 0.09 | 5.4x | 196 | 74% |
| ADX / DI 방향성 period=40, threshold=16 |
5.8% | -55.1% | 0.37 | 0.11 | 4.1x | 74 | 26% |
| Parabolic SAR step=0.01, maxStep=0.34 |
4.0% | -56.0% | 0.28 | 0.07 | 2.7x | 297 | 52% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
1.5% | -29.2% | 0.20 | 0.05 | 1.4x | 24 | 3% |
| MACD fast=24, slow=57, signal=15 |
1.4% | -70.2% | 0.19 | 0.02 | 1.4x | 255 | 49% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=3.3 |
1.7% | -56.7% | 0.19 | 0.03 | 1.5x | 76 | 28% |
| Buy and hold | 15.0% | -77.1% | 0.55 | 0.20 | 34.3x | 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 18-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 18-day average falls below the 74-day average