Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Kuaishou Technology Class B backtest

10 trend-following strategies were compared on the full daily history of Kuaishou Technology Class B. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.5%).

Data 2021-02-05 ~ 2026-07-31daily bars 1,345 (5.5 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -29.7%, drawdown -92.2%).

Sharpe leader (same as main): MACD — CAGR 14.5%, MDD -42.8%, Sharpe 0.54, 47% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 44.2%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 0.1%, MDD -0.5%, 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
MACD
fast=16, slow=31, signal=19
14.5%-42.8%0.540.342.1x4947%
Donchian 채널 돌파
entryN=15, exitN=10
10.3%-34.1%0.460.301.7x3535%
ROC 모멘텀
n=1, threshold=0.11
2.8%-7.6%0.440.371.2x181%
Parabolic SAR
step=0.03, maxStep=0.2
5.9%-55.3%0.350.111.4x14244%
Keltner 채널 돌파
emaPeriod=17, atrPeriod=8, mult=1.4
2.8%-28.7%0.240.101.2x4222%
볼린저 밴드 돌파
n=38, k=1.5
2.6%-28.4%0.230.091.2x2625%
ADX / DI 방향성
period=33, threshold=25
0.1%-0.5%0.140.111.0x20%
Supertrend
period=13, mult=2
-2.0%-50.7%0.14-0.040.9x5741%
SMA 크로스오버
fast=8, slow=53
-1.9%-36.0%0.12-0.050.9x3038%
EMA 크로스오버
fast=59, slow=195
-2.2%-36.1%0.03-0.060.9x422%
Buy and hold-29.7%-92.2%-0.27-0.320.1x1100%
1x 2022 2023 2024 2025 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -69% -92% 2022 2023 2024 2025 2026 Buy and holdMACD
MACD maximum drawdown -42.8% (2021-04-27 → 2021-08-26), recovered after 583 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

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

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