Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Overseas Land & Investment Limited backtest
10 trend-following strategies were compared on the full daily history of China Overseas Land & Investment Limited. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.1%, MDD -37.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -67.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -37.1%, Sharpe 0.52, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 8.1%, MDD -37.1%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=2.8 |
8.1% | -37.1% | 0.52 | 0.22 | 8.0x | 70 | 17% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=3.8 |
5.2% | -51.1% | 0.36 | 0.10 | 3.9x | 48 | 18% |
| ADX / DI 방향성 period=28, threshold=24 |
4.4% | -55.4% | 0.35 | 0.08 | 3.1x | 50 | 12% |
| SMA 크로스오버 fast=19, slow=68 |
5.9% | -84.1% | 0.34 | 0.07 | 4.5x | 114 | 52% |
| Donchian 채널 돌파 entryN=24, exitN=78 |
5.5% | -89.1% | 0.33 | 0.06 | 4.1x | 67 | 76% |
| ROC 모멘텀 n=135, threshold=0.18 |
4.9% | -77.0% | 0.32 | 0.06 | 3.6x | 182 | 27% |
| MACD fast=18, slow=52, signal=31 |
3.1% | -94.1% | 0.25 | 0.03 | 2.2x | 236 | 50% |
| Supertrend period=24, mult=4.2 |
2.0% | -90.8% | 0.21 | 0.02 | 1.7x | 102 | 53% |
| EMA 크로스오버 fast=30, slow=40 |
1.6% | -91.7% | 0.20 | 0.02 | 1.5x | 118 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.5% | -91.9% | 0.17 | 0.01 | 1.1x | 211 | 51% |
| Buy and hold | 8.1% | -67.9% | 0.40 | 0.12 | 7.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 29-day middle average