Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Longfor Group Holdings Ltd. backtest

10 trend-following strategies were compared on the full daily history of Longfor Group Holdings Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.5%, MDD -31.4%).

Data 2009-11-19 ~ 2026-07-31daily bars 4,113 (16.7 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -1.0%, drawdown -88.8%).

Sharpe leader (same as main): Supertrend — CAGR 2.1%, MDD -55.7%, Sharpe 0.23, 53% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 2.4%, MDD -63.6%, exposure 49%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 0.5%, MDD -31.4%, exposure 0%).

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
Supertrend
period=9, mult=2.2
2.1%-55.7%0.230.041.4x15553%
SMA 크로스오버
fast=33, slow=193
2.4%-63.6%0.220.041.5x2649%
MACD
fast=11, slow=21, signal=10
1.3%-57.9%0.200.021.3x31549%
Parabolic SAR
step=0.035, maxStep=0.24
1.3%-62.5%0.200.021.2x47948%
EMA 크로스오버
fast=68, slow=106
1.6%-62.9%0.190.031.3x2649%
ROC 모멘텀
n=156, threshold=0
1.2%-65.7%0.190.021.2x10451%
볼린저 밴드 돌파
n=38, k=3.5
0.9%-40.4%0.130.021.2x187%
ADX / DI 방향성
period=14, threshold=14
-1.2%-69.3%0.12-0.020.8x32148%
Keltner 채널 돌파
emaPeriod=13, atrPeriod=10, mult=3.6
0.5%-31.4%0.100.021.1x20%
Donchian 채널 돌파
entryN=60, exitN=74
-1.5%-63.5%0.10-0.020.8x2261%
Buy and hold-1.0%-88.8%0.21-0.010.9x1100%
1x 2010 2013 2016 2019 2022 2025 SMA 크로스오버SupertrendBuy and hold
Supertrend (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -22% -44% -67% -89% 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버Supertrend
Supertrend maximum drawdown -55.7% (2024-10-02 → 2026-07-31), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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 setupAll asset reports

Read next