Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Mobvista Incorporation backtest

10 trend-following strategies were compared on the full daily history of Mobvista Incorporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.7%, MDD -42.3%).

Data 2018-12-12 ~ 2026-07-31daily bars 1,875 (7.6 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 14.3%, drawdown -89.2%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 36.4%, MDD -54.3%, Sharpe 0.81, 33% exposure.

CAGR reference leader: Parabolic SAR — CAGR 36.5%, MDD -67.8%, exposure 48%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.1%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 21.7%, MDD -42.3%, exposure 4%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=21, k=1.1
36.4%-54.3%0.810.6710.7x8833%
Parabolic SAR
step=0.05, maxStep=0.36
36.5%-67.8%0.790.5410.7x26148%
MACD
fast=8, slow=22, signal=8
34.3%-55.7%0.770.629.5x15551%
ROC 모멘텀
n=61, threshold=0.13
26.5%-51.6%0.680.516.0x7623%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=28, mult=3.2
21.7%-42.3%0.650.514.5x104%
ADX / DI 방향성
period=21, threshold=31
22.8%-47.6%0.630.484.8x1410%
SMA 크로스오버
fast=29, slow=101
21.6%-60.5%0.610.364.4x1834%
Supertrend
period=21, mult=1.9
21.6%-67.3%0.600.324.5x8239%
Donchian 채널 돌파
entryN=43, exitN=30
21.5%-72.1%0.600.304.4x1836%
EMA 크로스오버
fast=9, slow=264
16.8%-63.7%0.560.263.3x1040%
Buy and hold14.3%-89.2%0.530.162.8x1100%
1x 10x 2019 2020 2021 2022 2023 2024 2025 2026 Parabolic SAR볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Parabolic SAR (CAGR reference), Buy and hold.
0% -22% -45% -67% -89% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdParabolic SAR볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -54.3% (2021-04-27 → 2024-11-01), recovered after 1,294 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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