Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Lenovo Group Limited backtest
10 trend-following strategies were compared on the full daily history of Lenovo Group 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 4.4%, MDD -27.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.2%, drawdown -90.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -71.4%, Sharpe 0.47, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 4.4%, MDD -27.2%, exposure 6%).
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=22, exitN=29 |
10.8% | -71.4% | 0.47 | 0.15 | 15.0x | 105 | 60% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
5.8% | -33.8% | 0.40 | 0.17 | 4.4x | 25 | 11% |
| ADX / DI 방향성 period=23, threshold=31 |
4.4% | -27.2% | 0.36 | 0.16 | 3.1x | 30 | 6% |
| EMA 크로스오버 fast=24, slow=29 |
6.3% | -67.0% | 0.35 | 0.09 | 5.0x | 151 | 51% |
| SMA 크로스오버 fast=49, slow=197 |
4.5% | -64.8% | 0.30 | 0.07 | 3.2x | 45 | 46% |
| Supertrend period=25, mult=4.4 |
4.2% | -71.7% | 0.29 | 0.06 | 3.0x | 94 | 53% |
| ROC 모멘텀 n=75, threshold=0.09 |
4.1% | -63.7% | 0.28 | 0.06 | 2.9x | 273 | 36% |
| MACD fast=8, slow=26, signal=22 |
2.5% | -82.0% | 0.24 | 0.03 | 1.9x | 402 | 51% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=13, mult=2.9 |
1.4% | -59.1% | 0.18 | 0.02 | 1.4x | 99 | 26% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.0% | -88.6% | 0.10 | -0.02 | 0.6x | 207 | 52% |
| Buy and hold | 2.2% | -90.6% | 0.28 | 0.02 | 1.8x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 29 days