Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Hang Lung Properties Limited backtest
10 trend-following strategies were compared on the full daily history of Hang Lung Properties Limited. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.9%, MDD -31.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.5%, drawdown -86.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.9%, MDD -64.1%, Sharpe 0.24, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 1.9%, MDD -31.4%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=116, exitN=86 |
2.9% | -64.1% | 0.24 | 0.04 | 2.1x | 32 | 46% |
| SMA 크로스오버 fast=34, slow=210 |
2.5% | -65.2% | 0.22 | 0.04 | 1.9x | 46 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=13, mult=3 |
1.9% | -31.4% | 0.20 | 0.06 | 1.7x | 70 | 22% |
| EMA 크로스오버 fast=52, slow=65 |
1.9% | -69.3% | 0.19 | 0.03 | 1.6x | 72 | 49% |
| ROC 모멘텀 n=137, threshold=0.07 |
0.9% | -68.5% | 0.15 | 0.01 | 1.3x | 182 | 39% |
| Supertrend period=24, mult=4.3 |
0.7% | -68.7% | 0.14 | 0.01 | 1.2x | 94 | 48% |
| ADX / DI 방향성 period=31, threshold=30 |
0.3% | -18.0% | 0.08 | 0.01 | 1.1x | 10 | 2% |
| 볼린저 밴드 돌파 n=42, k=2.4 |
-0.7% | -59.8% | 0.04 | -0.01 | 0.8x | 92 | 22% |
| MACD fast=19, slow=42, signal=18 |
-2.8% | -87.0% | -0.00 | -0.03 | 0.5x | 283 | 48% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.4% | -91.3% | -0.12 | -0.06 | 0.2x | 227 | 48% |
| Buy and hold | 0.5% | -86.8% | 0.18 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 116 days
- Sell — Sell when price breaks below the lowest low of the last 86 days