Trend-Following Backtester · Guide · backtest 한국어
equity · HK
CK Hutchison Holdings Ltd backtest
10 trend-following strategies were compared on the full daily history of CK Hutchison Holdings Ltd. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.4%, MDD -38.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.2%, drawdown -71.1%).
Sharpe leader (same as main): Supertrend — CAGR 1.1%, MDD -60.1%, Sharpe 0.15, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 11.0%p (CAGR 0.4%, MDD -38.6%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=4.2 |
1.1% | -60.1% | 0.15 | 0.02 | 1.3x | 113 | 51% |
| EMA 크로스오버 fast=24, slow=203 |
0.8% | -70.3% | 0.13 | 0.01 | 1.2x | 53 | 50% |
| SMA 크로스오버 fast=59, slow=161 |
0.8% | -59.0% | 0.13 | 0.01 | 1.2x | 43 | 49% |
| MACD fast=21, slow=44, signal=19 |
0.7% | -67.9% | 0.13 | 0.01 | 1.2x | 245 | 49% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=26, mult=1.6 |
0.4% | -38.6% | 0.10 | 0.01 | 1.1x | 185 | 29% |
| 볼린저 밴드 돌파 n=33, k=1.5 |
0.0% | -57.8% | 0.08 | 0.00 | 1.0x | 187 | 34% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.5% | -67.9% | 0.07 | -0.01 | 0.9x | 211 | 49% |
| Donchian 채널 돌파 entryN=27, exitN=59 |
-0.9% | -65.2% | 0.06 | -0.01 | 0.8x | 79 | 64% |
| ADX / DI 방향성 period=52, threshold=6 |
-1.9% | -73.9% | -0.02 | -0.03 | 0.6x | 289 | 45% |
| ROC 모멘텀 n=121, threshold=0.21 |
-1.9% | -51.7% | -0.12 | -0.04 | 0.6x | 138 | 13% |
| Buy and hold | 0.2% | -71.1% | 0.15 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)