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 56.2%, MDD -48.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.6%, drawdown -93.2%).
Sharpe leader (same as main): Supertrend — CAGR 68.9%, MDD -49.4%, Sharpe 1.07, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 58.3%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 56.2%, 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 |
68.9% | -49.4% | 1.07 | 1.40 | 46.9x | 24 | 41% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
62.0% | -60.5% | 1.01 | 1.02 | 34.6x | 22 | 34% |
| ROC 모멘텀 n=54, threshold=0.01 |
61.0% | -63.5% | 0.99 | 0.96 | 32.9x | 52 | 44% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=2.9 |
56.2% | -48.4% | 0.98 | 1.16 | 26.5x | 18 | 24% |
| Donchian 채널 돌파 entryN=33, exitN=37 |
59.4% | -56.0% | 0.97 | 1.06 | 30.7x | 15 | 49% |
| SMA 크로스오버 fast=4, slow=68 |
57.9% | -64.4% | 0.97 | 0.90 | 28.7x | 44 | 44% |
| EMA 크로스오버 fast=27, slow=33 |
50.9% | -73.1% | 0.90 | 0.70 | 20.5x | 32 | 42% |
| ADX / DI 방향성 period=35, threshold=5 |
46.2% | -61.2% | 0.85 | 0.76 | 16.3x | 73 | 53% |
| Parabolic SAR step=0.005, maxStep=0.2 |
38.8% | -68.1% | 0.79 | 0.57 | 11.1x | 57 | 42% |
| MACD fast=5, slow=43, signal=13 |
8.3% | -91.3% | 0.45 | 0.09 | 1.8x | 156 | 50% |
| Buy and hold | 10.6% | -93.2% | 0.55 | 0.11 | 2.1x | 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) — 16-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)