Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Damai Entertainment Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Damai Entertainment Holdings Limited. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.6%, MDD -67.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.9%, drawdown -96.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 18.2%, MDD -73.9%, Sharpe 0.49, 43% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 16.3%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 12.6%, MDD -67.7%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.16 |
18.2% | -73.9% | 0.49 | 0.25 | 51.7x | 138 | 43% |
| SMA 크로스오버 fast=23, slow=113 |
14.8% | -87.2% | 0.45 | 0.17 | 25.6x | 62 | 40% |
| 볼린저 밴드 돌파 n=50, k=2 |
14.7% | -68.5% | 0.44 | 0.21 | 25.4x | 82 | 26% |
| EMA 크로스오버 fast=56, slow=204 |
14.4% | -72.4% | 0.44 | 0.20 | 23.8x | 20 | 33% |
| Donchian 채널 돌파 entryN=30, exitN=15 |
13.5% | -85.0% | 0.43 | 0.16 | 19.8x | 112 | 33% |
| ROC 모멘텀 n=99, threshold=0.24 |
12.6% | -67.7% | 0.41 | 0.19 | 16.4x | 124 | 22% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=2.6 |
12.5% | -81.1% | 0.41 | 0.15 | 16.0x | 70 | 21% |
| Supertrend period=14, mult=4.1 |
8.5% | -86.1% | 0.37 | 0.10 | 6.9x | 96 | 49% |
| MACD fast=19, slow=39, signal=7 |
2.8% | -90.4% | 0.30 | 0.03 | 1.9x | 371 | 50% |
| ADX / DI 방향성 period=26, threshold=24 |
5.0% | -69.5% | 0.27 | 0.07 | 3.2x | 78 | 20% |
| Buy and hold | 1.9% | -96.9% | 0.36 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots