Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Bosideng International Holdings Limited backtest

10 trend-following strategies were compared on the full daily history of Bosideng International Holdings Limited. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.6%, MDD -41.5%).

Data 2007-10-11 ~ 2026-07-31daily bars 4,634 (18.8 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 2.0%, drawdown -86.4%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.5%, MDD -53.5%, Sharpe 0.64, 49% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 8.6%, MDD -41.5%, exposure 23%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=9, slow=105
16.5%-53.5%0.640.3117.7x5349%
SMA 크로스오버
fast=6, slow=141
13.9%-67.9%0.570.2011.5x6150%
Donchian 채널 돌파
entryN=89, exitN=79
12.8%-63.7%0.550.209.6x2148%
ADX / DI 방향성
period=42, threshold=16
8.6%-41.5%0.450.214.7x5423%
ROC 모멘텀
n=118, threshold=0.1
8.4%-72.9%0.420.114.5x15637%
Supertrend
period=19, mult=4.9
7.4%-78.3%0.390.093.8x4952%
MACD
fast=15, slow=47, signal=24
5.8%-67.4%0.340.092.9x17952%
볼린저 밴드 돌파
n=27, k=1.2
5.7%-57.1%0.340.102.8x18339%
Parabolic SAR
step=0.01, maxStep=0.22
5.4%-61.4%0.330.092.7x21150%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=8, mult=2.1
5.1%-68.9%0.320.072.5x7733%
Buy and hold2.0%-86.4%0.270.021.4x1100%
1x 10x 2008 2011 2014 2017 2020 2023 2026 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -43% -65% -86% 2008 2011 2014 2017 2020 2023 2026 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -53.5% (2010-10-25 → 2018-03-13), recovered after 2,965 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next