Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Sun Hung Kai Properties Limited backtest
10 trend-following strategies were compared on the full daily history of Sun Hung Kai Properties Limited. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.0%, MDD -31.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.4%, drawdown -70.7%).
Sharpe leader (same as main): Supertrend — CAGR 5.1%, MDD -42.8%, Sharpe 0.35, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 4.0%, MDD -31.2%, exposure 30%).
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=18, mult=5 |
5.1% | -42.8% | 0.35 | 0.12 | 3.8x | 74 | 48% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
4.0% | -31.2% | 0.32 | 0.13 | 2.8x | 100 | 30% |
| Donchian 채널 돌파 entryN=46, exitN=17 |
3.6% | -34.6% | 0.30 | 0.11 | 2.6x | 104 | 30% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=20, mult=2.4 |
3.6% | -31.6% | 0.30 | 0.11 | 2.5x | 110 | 30% |
| SMA 크로스오버 fast=25, slow=118 |
3.9% | -48.2% | 0.30 | 0.08 | 2.8x | 66 | 49% |
| EMA 크로스오버 fast=41, slow=69 |
3.4% | -42.1% | 0.27 | 0.08 | 2.4x | 64 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.9% | -72.1% | 0.20 | 0.03 | 1.7x | 217 | 53% |
| ROC 모멘텀 n=81, threshold=0.01 |
1.8% | -56.2% | 0.19 | 0.03 | 1.6x | 268 | 46% |
| ADX / DI 방향성 period=32, threshold=8 |
0.4% | -74.2% | 0.12 | 0.01 | 1.1x | 348 | 50% |
| MACD fast=10, slow=63, signal=30 |
0.2% | -76.7% | 0.11 | 0.00 | 1.1x | 279 | 48% |
| Buy and hold | 1.4% | -70.7% | 0.20 | 0.02 | 1.5x | 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) — 18-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)