Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Guotai Junan International Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Guotai Junan International Holdings Limited. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.8%, MDD -48.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.7%, drawdown -91.5%).
Sharpe leader (same as main): MACD — CAGR 16.4%, MDD -63.8%, Sharpe 0.45, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 6.8%, MDD -48.5%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=39, signal=20 |
16.4% | -63.8% | 0.45 | 0.26 | 11.6x | 151 | 49% |
| Donchian 채널 돌파 entryN=25, exitN=14 |
15.0% | -53.6% | 0.43 | 0.28 | 9.6x | 83 | 37% |
| SMA 크로스오버 fast=20, slow=35 |
13.2% | -74.6% | 0.41 | 0.18 | 7.4x | 131 | 46% |
| ADX / DI 방향성 period=13, threshold=38 |
7.7% | -53.2% | 0.40 | 0.14 | 3.3x | 47 | 8% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=2.3 |
6.8% | -48.5% | 0.37 | 0.14 | 2.9x | 55 | 9% |
| 볼린저 밴드 돌파 n=37, k=1.8 |
11.1% | -58.6% | 0.36 | 0.19 | 5.5x | 97 | 28% |
| Supertrend period=25, mult=2.6 |
10.1% | -67.7% | 0.35 | 0.15 | 4.7x | 121 | 40% |
| EMA 크로스오버 fast=22, slow=23 |
9.1% | -81.2% | 0.35 | 0.11 | 4.1x | 107 | 47% |
| ROC 모멘텀 n=25, threshold=0.09 |
9.7% | -74.2% | 0.34 | 0.13 | 4.5x | 223 | 21% |
| Parabolic SAR step=0.03, maxStep=0.16 |
2.2% | -84.7% | 0.24 | 0.03 | 1.4x | 381 | 46% |
| Buy and hold | 4.7% | -91.5% | 0.33 | 0.05 | 2.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/39) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line