Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Henderson Land Development Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Henderson Land Development Co. Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.7%, MDD -34.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.2%, drawdown -70.9%).
Sharpe leader (same as main): Supertrend — CAGR 4.7%, MDD -34.7%, Sharpe 0.33, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 4.7%, MDD -34.7%, exposure 49%).
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=21, mult=4.4 |
4.7% | -34.7% | 0.33 | 0.14 | 3.4x | 95 | 49% |
| Donchian 채널 돌파 entryN=39, exitN=26 |
3.0% | -47.2% | 0.25 | 0.06 | 2.2x | 91 | 43% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=13, mult=2.4 |
2.2% | -41.1% | 0.22 | 0.05 | 1.8x | 121 | 27% |
| SMA 크로스오버 fast=41, slow=100 |
2.1% | -60.1% | 0.20 | 0.03 | 1.7x | 68 | 50% |
| EMA 크로스오버 fast=17, slow=118 |
1.3% | -52.8% | 0.17 | 0.02 | 1.4x | 78 | 52% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
1.3% | -54.7% | 0.17 | 0.02 | 1.4x | 157 | 39% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.0% | -52.5% | 0.15 | 0.02 | 1.3x | 207 | 53% |
| ADX / DI 방향성 period=27, threshold=12 |
0.5% | -46.1% | 0.12 | 0.01 | 1.1x | 261 | 44% |
| MACD fast=16, slow=51, signal=21 |
-0.3% | -65.2% | 0.09 | -0.01 | 0.9x | 281 | 50% |
| ROC 모멘텀 n=61, threshold=-0.03 |
-1.0% | -70.0% | 0.06 | -0.01 | 0.8x | 294 | 60% |
| Buy and hold | 0.2% | -70.9% | 0.16 | 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) — 21-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)