Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Star Shine Holdings Group Limited backtest
10 trend-following strategies were compared on the full daily history of Star Shine Holdings Group Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 98.1%, MDD -43.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 86.3%, drawdown -74.0%).
Sharpe leader (same as main): Supertrend — CAGR 98.1%, MDD -43.0%, Sharpe 1.47, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 98.1%, MDD -43.0%, exposure 53%).
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=24, mult=2.8 |
98.1% | -43.0% | 1.47 | 2.28 | 47.0x | 39 | 53% |
| Parabolic SAR step=0.025, maxStep=0.12 |
84.3% | -43.3% | 1.30 | 1.95 | 31.2x | 91 | 55% |
| ADX / DI 방향성 period=11, threshold=19 |
57.4% | -44.9% | 1.11 | 1.28 | 12.8x | 93 | 51% |
| MACD fast=9, slow=55, signal=19 |
52.9% | -60.6% | 1.07 | 0.87 | 10.9x | 65 | 50% |
| SMA 크로스오버 fast=39, slow=40 |
58.7% | -73.1% | 1.06 | 0.80 | 13.5x | 99 | 58% |
| Donchian 채널 돌파 entryN=17, exitN=21 |
53.1% | -75.1% | 1.01 | 0.71 | 11.0x | 25 | 66% |
| ROC 모멘텀 n=18, threshold=0.1 |
43.6% | -51.2% | 0.99 | 0.85 | 7.7x | 109 | 35% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=22, mult=0.8 |
45.8% | -47.6% | 0.98 | 0.96 | 8.3x | 57 | 46% |
| 볼린저 밴드 돌파 n=20, k=2.4 |
36.4% | -51.4% | 0.91 | 0.71 | 5.7x | 43 | 31% |
| EMA 크로스오버 fast=49, slow=59 |
38.5% | -70.8% | 0.85 | 0.54 | 6.3x | 13 | 67% |
| Buy and hold | 86.3% | -74.0% | 1.17 | 1.17 | 33.2x | 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) — 24-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)