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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 21.4%, MDD -42.3%).

Data 2018-12-12 ~ 2026-08-31daily bars 1,896 (7.7 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-08-31

Results by strategy

10 of 10 beat buy and hold (CAGR 13.8%, drawdown -89.2%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 35.3%, MDD -54.3%, Sharpe 0.80, 33% exposure.

CAGR reference leader: Parabolic SAR — CAGR 35.4%, MDD -67.8%, exposure 48%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.5%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 21.4%, 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
35.3%-54.3%0.800.6510.3x9033%
Parabolic SAR
step=0.05, maxStep=0.36
35.4%-67.8%0.780.5210.4x26548%
MACD
fast=8, slow=22, signal=8
32.9%-55.7%0.760.599.0x15651%
ROC 모멘텀
n=61, threshold=0.13
26.2%-51.6%0.680.516.0x7623%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=28, mult=3.2
21.4%-42.3%0.640.514.5x104%
ADX / DI 방향성
period=21, threshold=31
22.5%-47.6%0.630.474.8x1410%
SMA 크로스오버
fast=29, slow=101
21.3%-60.5%0.610.354.4x1834%
Donchian 채널 돌파
entryN=43, exitN=30
21.2%-72.1%0.600.294.4x1836%
Supertrend
period=21, mult=1.9
18.7%-67.3%0.560.283.8x8439%
EMA 크로스오버
fast=9, slow=264
16.6%-63.7%0.560.263.3x1039%
Buy and hold13.8%-89.2%0.530.162.7x1100%
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 carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore HK assetsAll asset reports

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