Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Yue Yuen Industrial (Holdings) Limited backtest
10 trend-following strategies were compared on the full daily history of Yue Yuen Industrial (Holdings) Limited. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.5%, MDD -22.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.4%, drawdown -80.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.1%, MDD -24.8%, Sharpe 0.23, 13% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR 0.5%, MDD -22.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=23 |
2.1% | -24.8% | 0.23 | 0.09 | 1.6x | 24 | 13% |
| SMA 크로스오버 fast=13, slow=77 |
1.2% | -53.1% | 0.17 | 0.02 | 1.3x | 92 | 52% |
| Donchian 채널 돌파 entryN=37, exitN=74 |
0.4% | -68.1% | 0.15 | 0.01 | 1.1x | 54 | 62% |
| EMA 크로스오버 fast=28, slow=76 |
0.5% | -50.9% | 0.14 | 0.01 | 1.1x | 66 | 50% |
| Supertrend period=21, mult=5 |
0.4% | -57.5% | 0.13 | 0.01 | 1.1x | 52 | 48% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.8 |
0.5% | -22.5% | 0.12 | 0.02 | 1.1x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.2% | -79.1% | 0.08 | -0.01 | 0.8x | 182 | 52% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
-0.1% | -23.5% | 0.01 | -0.00 | 1.0x | 12 | 2% |
| MACD fast=19, slow=48, signal=18 |
-4.3% | -87.2% | -0.04 | -0.05 | 0.4x | 237 | 51% |
| ROC 모멘텀 n=79, threshold=0 |
-4.1% | -78.2% | -0.06 | -0.05 | 0.4x | 244 | 50% |
| Buy and hold | -0.4% | -80.8% | 0.17 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)