Trend-Following Backtester · Guide · backtest 한국어
equity · HK
East Buy Holding Limited backtest
10 trend-following strategies were compared on the full daily history of East Buy Holding Limited. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 55.4%, MDD -48.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.5%, drawdown -93.2%).
Sharpe leader (same as main): Supertrend — CAGR 67.3%, MDD -49.4%, Sharpe 1.06, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 54.8%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 55.4%, MDD -48.4%, exposure 24%).
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=16, mult=3.9 |
67.3% | -49.4% | 1.06 | 1.36 | 45.6x | 25 | 41% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
61.6% | -60.5% | 1.01 | 1.02 | 35.3x | 23 | 34% |
| ROC 모멘텀 n=54, threshold=0.01 |
62.6% | -63.5% | 1.00 | 0.98 | 37.0x | 53 | 44% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=2.9 |
55.4% | -48.4% | 0.98 | 1.15 | 26.5x | 18 | 24% |
| SMA 크로스오버 fast=4, slow=68 |
57.7% | -64.4% | 0.96 | 0.89 | 29.4x | 45 | 44% |
| Donchian 채널 돌파 entryN=33, exitN=37 |
56.5% | -59.8% | 0.95 | 0.95 | 27.9x | 16 | 49% |
| EMA 크로스오버 fast=27, slow=33 |
49.6% | -73.1% | 0.89 | 0.68 | 20.0x | 33 | 42% |
| ADX / DI 방향성 period=35, threshold=5 |
44.6% | -66.8% | 0.84 | 0.67 | 15.5x | 79 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
37.8% | -68.1% | 0.78 | 0.56 | 10.8x | 59 | 42% |
| MACD fast=5, slow=43, signal=13 |
8.5% | -91.3% | 0.46 | 0.09 | 1.8x | 157 | 50% |
| Buy and hold | 12.5% | -93.2% | 0.56 | 0.13 | 2.4x | 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) — 16-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)