Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Hotai Motor Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hotai Motor Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.4%, drawdown -62.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -52.5%, Sharpe 0.62, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=55, slow=212 |
12.9% | -52.5% | 0.62 | 0.25 | 25.3x | 26 | 57% |
| EMA 크로스오버 fast=34, slow=214 |
12.0% | -52.5% | 0.58 | 0.23 | 20.5x | 30 | 60% |
| Donchian 채널 돌파 entryN=62, exitN=76 |
11.5% | -55.1% | 0.56 | 0.21 | 18.4x | 41 | 61% |
| ADX / DI 방향성 period=37, threshold=11 |
10.3% | -54.2% | 0.55 | 0.19 | 13.5x | 159 | 44% |
| Supertrend period=28, mult=4.7 |
9.7% | -61.5% | 0.52 | 0.16 | 11.8x | 85 | 52% |
| 볼린저 밴드 돌파 n=31, k=3 |
6.0% | -34.2% | 0.46 | 0.17 | 4.7x | 69 | 16% |
| ROC 모멘텀 n=158, threshold=0.13 |
7.5% | -47.2% | 0.44 | 0.16 | 6.9x | 172 | 39% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=1.9 |
6.5% | -54.6% | 0.41 | 0.12 | 5.3x | 141 | 37% |
| MACD fast=22, slow=51, signal=12 |
5.8% | -72.6% | 0.36 | 0.08 | 4.4x | 313 | 50% |
| Parabolic SAR step=0.015, maxStep=0.28 |
4.0% | -62.1% | 0.29 | 0.06 | 2.9x | 406 | 51% |
| Buy and hold | 13.4% | -62.1% | 0.56 | 0.22 | 28.4x | 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 55-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 55-day average falls below the 212-day average