Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Tower Corp. Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of China Tower Corp. Ltd. Class H. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -8.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.0%, drawdown -68.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.9%, MDD -25.5%, Sharpe 0.37, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.2%, MDD -48.6%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 1.4%, MDD -8.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3 |
3.9% | -25.5% | 0.37 | 0.15 | 1.4x | 10 | 12% |
| ADX / DI 방향성 period=26, threshold=32 |
1.4% | -8.2% | 0.32 | 0.17 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=60, exitN=83 |
4.2% | -48.6% | 0.31 | 0.09 | 1.4x | 8 | 44% |
| EMA 크로스오버 fast=56, slow=88 |
3.2% | -40.1% | 0.26 | 0.08 | 1.3x | 12 | 43% |
| SMA 크로스오버 fast=49, slow=61 |
3.0% | -37.5% | 0.25 | 0.08 | 1.3x | 42 | 43% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=3.3 |
1.9% | -29.8% | 0.22 | 0.06 | 1.2x | 8 | 8% |
| ROC 모멘텀 n=88, threshold=0.1 |
0.0% | -37.3% | 0.08 | 0.00 | 1.0x | 60 | 21% |
| Supertrend period=21, mult=3.8 |
-1.9% | -61.5% | 0.03 | -0.03 | 0.9x | 32 | 55% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-5.2% | -58.3% | -0.15 | -0.09 | 0.6x | 192 | 45% |
| MACD fast=11, slow=57, signal=8 |
-10.2% | -73.0% | -0.40 | -0.14 | 0.4x | 148 | 48% |
| Buy and hold | -4.0% | -68.9% | 0.02 | -0.06 | 0.7x | 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 52-day average (3× volatility)
- Sell — Sell when the close falls back to the 52-day middle average