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 6.6%, MDD -38.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.7%, drawdown -96.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.1%, MDD -56.8%, Sharpe 0.51, 35% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 17.8%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 6.6%, 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 |
10.1% | -56.8% | 0.51 | 0.18 | 12.9x | 164 | 35% |
| Supertrend period=5, mult=3.4 |
9.9% | -63.2% | 0.48 | 0.16 | 12.2x | 138 | 47% |
| Donchian 채널 돌파 entryN=21, exitN=16 |
8.6% | -68.3% | 0.44 | 0.13 | 8.9x | 142 | 42% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=13, mult=1.2 |
7.5% | -59.3% | 0.42 | 0.13 | 6.9x | 228 | 33% |
| ROC 모멘텀 n=24, threshold=0.1 |
6.6% | -38.9% | 0.41 | 0.17 | 5.5x | 290 | 18% |
| MACD fast=18, slow=31, signal=7 |
7.3% | -74.5% | 0.39 | 0.10 | 6.6x | 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 | 45% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.7% | -84.5% | 0.30 | 0.06 | 3.4x | 199 | 46% |
| ADX / DI 방향성 period=22, threshold=16 |
1.6% | -84.8% | 0.19 | 0.02 | 1.5x | 260 | 31% |
| Buy and hold | -7.7% | -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