Trend-Following Backtester · Guide · backtest 한국어
equity · HK
New World Development Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of New World Development Co. Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.1%, MDD -38.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.8%, drawdown -96.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -56.8%, Sharpe 0.48, 35% exposure.
CAGR reference leader: Supertrend — CAGR 9.8%, MDD -63.2%, exposure 47%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 6.1%, MDD -38.9%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=1.2 |
9.4% | -56.8% | 0.48 | 0.17 | 10.9x | 167 | 35% |
| Supertrend period=5, mult=3.4 |
9.8% | -63.2% | 0.48 | 0.16 | 12.2x | 138 | 47% |
| Donchian 채널 돌파 entryN=21, exitN=16 |
8.2% | -68.3% | 0.43 | 0.12 | 8.2x | 143 | 42% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=13, mult=1.2 |
7.3% | -59.3% | 0.41 | 0.12 | 6.5x | 230 | 33% |
| ROC 모멘텀 n=24, threshold=0.1 |
6.1% | -38.9% | 0.38 | 0.16 | 4.8x | 296 | 18% |
| MACD fast=18, slow=31, signal=7 |
7.1% | -74.5% | 0.38 | 0.10 | 6.3x | 407 | 50% |
| EMA 크로스오버 fast=30, slow=139 |
5.0% | -50.6% | 0.32 | 0.10 | 3.7x | 46 | 43% |
| SMA 크로스오버 fast=51, slow=122 |
4.8% | -56.6% | 0.31 | 0.08 | 3.5x | 50 | 44% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.5% | -84.5% | 0.30 | 0.05 | 3.2x | 199 | 46% |
| ADX / DI 방향성 period=22, threshold=16 |
1.1% | -85.0% | 0.17 | 0.01 | 1.3x | 263 | 31% |
| Buy and hold | -7.8% | -96.1% | -0.00 | -0.08 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 40-day middle average