Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Unicom (Hong Kong) Limited backtest
10 trend-following strategies were compared on the full daily history of China Unicom (Hong Kong) Limited. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -11.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.5%, drawdown -84.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.2%, MDD -67.1%, Sharpe 0.25, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 0.6%, MDD -11.9%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=76, exitN=70 |
3.2% | -67.1% | 0.25 | 0.05 | 2.3x | 34 | 45% |
| EMA 크로스오버 fast=55, slow=222 |
2.5% | -57.5% | 0.23 | 0.04 | 1.9x | 28 | 42% |
| ADX / DI 방향성 period=33, threshold=40 |
0.6% | -11.9% | 0.21 | 0.05 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=56, slow=131 |
2.1% | -62.9% | 0.21 | 0.03 | 1.7x | 50 | 46% |
| Supertrend period=9, mult=4 |
1.6% | -65.6% | 0.19 | 0.02 | 1.5x | 98 | 51% |
| ROC 모멘텀 n=149, threshold=-0.03 |
-0.9% | -81.7% | 0.10 | -0.01 | 0.8x | 200 | 50% |
| 볼린저 밴드 돌파 n=58, k=3.1 |
0.1% | -45.1% | 0.08 | 0.00 | 1.0x | 38 | 15% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=21, mult=3.3 |
-1.1% | -59.0% | 0.04 | -0.02 | 0.8x | 64 | 23% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.4% | -90.1% | -0.04 | -0.05 | 0.3x | 207 | 47% |
| MACD fast=21, slow=70, signal=30 |
-5.7% | -89.3% | -0.08 | -0.06 | 0.2x | 209 | 51% |
| Buy and hold | -3.5% | -84.6% | 0.10 | -0.04 | 0.4x | 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 76 days
- Sell — Sell when price breaks below the lowest low of the last 70 days