Trend-Following Backtester · Guide · backtest 한국어
equity · HK
MMG Ltd. backtest
10 trend-following strategies were compared on the full daily history of MMG Ltd.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.5%, MDD -60.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.2%, drawdown -91.8%).
Sharpe leader (same as main): Supertrend — CAGR 16.2%, MDD -71.0%, Sharpe 0.60, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 10.5%, MDD -60.3%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=36, mult=3.3 |
16.2% | -71.0% | 0.60 | 0.23 | 30.0x | 123 | 44% |
| ROC 모멘텀 n=36, threshold=0 |
14.7% | -64.0% | 0.55 | 0.23 | 22.4x | 341 | 49% |
| SMA 크로스오버 fast=27, slow=46 |
14.2% | -69.9% | 0.54 | 0.20 | 20.2x | 135 | 49% |
| 볼린저 밴드 돌파 n=33, k=1.7 |
12.5% | -69.9% | 0.52 | 0.18 | 14.4x | 139 | 33% |
| ADX / DI 방향성 period=36, threshold=11 |
11.2% | -81.2% | 0.48 | 0.14 | 11.0x | 162 | 42% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=1.2 |
11.3% | -70.4% | 0.48 | 0.16 | 11.2x | 145 | 40% |
| Donchian 채널 돌파 entryN=127, exitN=71 |
10.5% | -60.3% | 0.46 | 0.17 | 9.5x | 28 | 43% |
| EMA 크로스오버 fast=29, slow=52 |
10.5% | -74.9% | 0.45 | 0.14 | 9.5x | 83 | 50% |
| Parabolic SAR step=0.075, maxStep=0.18 |
9.5% | -68.0% | 0.43 | 0.14 | 7.7x | 793 | 49% |
| MACD fast=5, slow=54, signal=20 |
8.9% | -72.6% | 0.42 | 0.12 | 6.9x | 357 | 50% |
| Buy and hold | 5.2% | -91.8% | 0.37 | 0.06 | 3.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 36-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)