Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Tingyi (Cayman Islands) Holding Corp. backtest

10 trend-following strategies were compared on the full daily history of Tingyi (Cayman Islands) Holding Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2000-01-04 ~ 2026-07-31daily bars 6,623 (26.6 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.5%, drawdown -74.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.5%, MDD -62.5%, Sharpe 0.49, 58% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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
Donchian 채널 돌파
entryN=60, exitN=75
10.5%-62.5%0.490.1714.3x4058%
SMA 크로스오버
fast=55, slow=123
10.4%-68.7%0.490.1513.7x5855%
볼린저 밴드 돌파
n=47, k=2.7
7.6%-44.5%0.460.177.0x7225%
EMA 크로스오버
fast=24, slow=125
9.5%-73.3%0.450.1311.0x7257%
Supertrend
period=16, mult=3.9
8.1%-55.0%0.420.157.9x9753%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=26, mult=4
5.5%-42.7%0.380.134.1x4620%
ADX / DI 방향성
period=38, threshold=15
5.0%-57.8%0.340.093.6x9224%
ROC 모멘텀
n=87, threshold=-0.03
5.5%-84.2%0.330.064.1x31361%
Parabolic SAR
step=0.005, maxStep=0.28
1.9%-86.1%0.200.021.6x20152%
MACD
fast=18, slow=32, signal=17
-0.9%-90.3%0.10-0.010.8x33750%
Buy and hold12.5%-74.9%0.500.1722.8x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -37% -56% -75% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -62.5% (2018-07-13 → 2024-08-08), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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