Trend-Following Backtester · Guide · backtest 한국어
equity · HK
PCCW Limited backtest
10 trend-following strategies were compared on the full daily history of PCCW Limited. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.1%, MDD -24.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.2%, drawdown -73.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.8%, MDD -50.4%, Sharpe 0.19, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR -0.1%, MDD -24.0%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=15, threshold=-0.11 |
1.8% | -50.4% | 0.19 | 0.03 | 1.5x | 83 | 97% |
| Donchian 채널 돌파 entryN=7, exitN=67 |
0.8% | -58.8% | 0.15 | 0.01 | 1.2x | 91 | 85% |
| ADX / DI 방향성 period=33, threshold=23 |
0.5% | -28.7% | 0.10 | 0.02 | 1.1x | 30 | 11% |
| MACD fast=19, slow=26, signal=18 |
-0.5% | -69.3% | 0.06 | -0.01 | 0.9x | 271 | 51% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-0.1% | -24.0% | 0.03 | -0.01 | 1.0x | 24 | 9% |
| SMA 크로스오버 fast=10, slow=127 |
-1.2% | -65.8% | 0.02 | -0.02 | 0.7x | 76 | 52% |
| EMA 크로스오버 fast=32, slow=63 |
-1.2% | -64.3% | 0.02 | -0.02 | 0.7x | 72 | 52% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-1.4% | -56.6% | 0.01 | -0.02 | 0.7x | 257 | 51% |
| Supertrend period=28, mult=3.4 |
-2.5% | -62.4% | -0.05 | -0.04 | 0.6x | 119 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=42, mult=2.5 |
-3.1% | -60.2% | -0.14 | -0.05 | 0.5x | 100 | 32% |
| Buy and hold | -0.2% | -73.6% | 0.13 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 15-day return is greater than -11%
- Sell — Sell when the 15-day return drops to -11% or below