Trend-Following Backtester · Guide · backtest 한국어
equity · HK
CK Asset Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of CK Asset Holdings Limited. 9 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 0.4%, MDD -11.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.3%, drawdown -61.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -28.3%, Sharpe 0.38, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 0.4%, MDD -11.0%, exposure 7%).
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=51, exitN=46 |
4.7% | -28.3% | 0.38 | 0.16 | 1.7x | 17 | 47% |
| SMA 크로스오버 fast=64, slow=177 |
3.4% | -30.9% | 0.31 | 0.11 | 1.5x | 15 | 44% |
| 볼린저 밴드 돌파 n=27, k=3.3 |
1.1% | -13.2% | 0.22 | 0.08 | 1.1x | 10 | 6% |
| Supertrend period=26, mult=2.3 |
1.2% | -37.6% | 0.16 | 0.03 | 1.1x | 102 | 50% |
| EMA 크로스오버 fast=15, slow=210 |
0.9% | -32.6% | 0.14 | 0.03 | 1.1x | 19 | 42% |
| ROC 모멘텀 n=105, threshold=-0.01 |
0.9% | -38.1% | 0.14 | 0.02 | 1.1x | 65 | 47% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=25, mult=2.5 |
0.7% | -27.4% | 0.12 | 0.03 | 1.1x | 38 | 23% |
| ADX / DI 방향성 period=39, threshold=21 |
0.4% | -11.0% | 0.10 | 0.04 | 1.0x | 12 | 7% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-1.6% | -53.5% | -0.02 | -0.03 | 0.8x | 142 | 48% |
| MACD fast=15, slow=50, signal=11 |
-4.8% | -56.0% | -0.20 | -0.09 | 0.6x | 158 | 51% |
| Buy and hold | -4.3% | -61.3% | -0.05 | -0.07 | 0.6x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 46 days