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Trend-Following Backtester · Guide · backtest 한국어

equity · HK

CTF Services Limited backtest

10 trend-following strategies were compared on the full daily history of CTF Services Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.8%, MDD -58.1%).

Data 2003-02-24 ~ 2026-08-31daily bars 5,825 (23.5 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-08-31

Results by strategy

1 of 10 beat buy and hold (CAGR 8.5%, drawdown -75.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -58.1%, Sharpe 0.46, 81% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 17.6%p (CAGR 9.8%, MDD -58.1%, exposure 81%).

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=15, exitN=86
9.8%-58.1%0.460.179.1x5581%
Supertrend
period=15, mult=4.7
6.7%-56.1%0.380.124.5x6854%
SMA 크로스오버
fast=53, slow=76
5.1%-52.5%0.330.103.2x10254%
EMA 크로스오버
fast=46, slow=100
4.2%-60.7%0.290.072.6x5259%
볼린저 밴드 돌파
n=64, k=2.2
3.1%-53.8%0.250.062.1x7229%
Keltner 채널 돌파
emaPeriod=28, atrPeriod=19, mult=3.4
2.3%-48.2%0.230.051.7x4611%
ROC 모멘텀
n=83, threshold=-0.04
2.2%-77.8%0.220.031.7x24967%
ADX / DI 방향성
period=20, threshold=16
-0.0%-82.9%0.12-0.001.0x24838%
Parabolic SAR
step=0.015, maxStep=0.14
-1.9%-90.7%0.06-0.020.6x35552%
MACD
fast=17, slow=36, signal=19
-2.9%-93.0%0.02-0.030.5x28350%
Buy and hold8.5%-75.8%0.410.116.8x1100%
1x 10x 2004 2007 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -76% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -58.1% (2011-02-07 → 2022-11-23), 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 setupMore HK assetsAll asset reports

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