Trend-Following Backtester · Guide · backtest 한국어

equity · HK

MTR Corporation Limited backtest

10 trend-following strategies were compared on the full daily history of MTR Corporation Limited. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.4%, MDD -28.2%).

Data 2000-10-09 ~ 2026-07-31daily bars 6,424 (25.8 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 3.9%, drawdown -62.6%).

Sharpe leader (same as main): Supertrend — CAGR 4.4%, MDD -28.2%, Sharpe 0.36, 49% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 4.4%, MDD -47.4%, exposure 60%.

Return/drawdown alternative: Supertrend — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 4.4%, MDD -28.2%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=10, mult=3.8
4.4%-28.2%0.360.153.0x9149%
Donchian 채널 돌파
entryN=32, exitN=52
4.4%-47.4%0.350.093.0x6760%
볼린저 밴드 돌파
n=55, k=1.6
3.5%-31.4%0.320.112.4x10635%
SMA 크로스오버
fast=53, slow=114
3.5%-45.9%0.300.082.4x6253%
ROC 모멘텀
Hold-like · Exposure 99%
n=8, threshold=-0.11
3.9%-62.3%0.290.062.7x2799%
EMA 크로스오버
fast=51, slow=135
2.8%-43.9%0.260.062.0x4357%
Keltner 채널 돌파
emaPeriod=73, atrPeriod=8, mult=2.6
2.4%-27.1%0.240.091.8x8433%
MACD
fast=16, slow=47, signal=29
0.9%-52.7%0.140.021.3x23352%
Parabolic SAR
step=0.005, maxStep=0.34
-0.1%-60.8%0.07-0.001.0x19551%
ADX / DI 방향성
period=26, threshold=16
-1.9%-60.3%-0.11-0.030.6x17925%
Buy and hold3.9%-62.6%0.280.062.7x1100%
1x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파SupertrendBuy and hold
Supertrend (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -16% -31% -47% -63% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파Supertrend
Supertrend maximum drawdown -28.2% (2019-07-18 → 2025-04-29), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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