Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Minth Group Limited backtest
10 trend-following strategies were compared on the full daily history of Minth Group Limited. 2 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 10.0%, MDD -42.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.6%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.1%, MDD -69.8%, Sharpe 0.56, 73% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 10.0%, MDD -42.4%, exposure 35%).
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=13, exitN=42 |
15.1% | -69.8% | 0.56 | 0.22 | 18.5x | 69 | 73% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=2.3 |
10.0% | -42.4% | 0.49 | 0.24 | 7.3x | 78 | 35% |
| Supertrend period=29, mult=5 |
10.9% | -62.3% | 0.49 | 0.18 | 8.6x | 52 | 52% |
| SMA 크로스오버 fast=45, slow=123 |
9.2% | -84.8% | 0.43 | 0.11 | 6.2x | 44 | 55% |
| EMA 크로스오버 fast=58, slow=194 |
9.1% | -76.6% | 0.43 | 0.12 | 6.0x | 24 | 54% |
| 볼린저 밴드 돌파 n=43, k=1.3 |
7.9% | -52.7% | 0.41 | 0.15 | 4.9x | 144 | 42% |
| ROC 모멘텀 n=111, threshold=0.06 |
7.7% | -73.2% | 0.40 | 0.10 | 4.6x | 192 | 46% |
| Parabolic SAR step=0.035, maxStep=0.04 |
7.1% | -61.7% | 0.38 | 0.12 | 4.2x | 254 | 55% |
| MACD fast=15, slow=56, signal=19 |
6.6% | -64.9% | 0.36 | 0.10 | 3.7x | 213 | 51% |
| ADX / DI 방향성 period=27, threshold=41 |
0.9% | -7.6% | 0.28 | 0.12 | 1.2x | 2 | 1% |
| Buy and hold | 10.6% | -83.8% | 0.45 | 0.13 | 8.1x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 42 days