Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Kingboard Laminates Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Kingboard Laminates Holdings Limited. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.7%, MDD -51.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.7%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.0%, MDD -72.0%, Sharpe 0.70, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 16.7%, MDD -51.3%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=98, exitN=74 |
20.0% | -72.0% | 0.70 | 0.28 | 36.4x | 21 | 48% |
| SMA 크로스오버 fast=34, slow=87 |
19.0% | -72.0% | 0.66 | 0.26 | 30.7x | 54 | 54% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=1.4 |
16.7% | -51.3% | 0.64 | 0.33 | 21.1x | 100 | 42% |
| EMA 크로스오버 fast=30, slow=155 |
17.1% | -72.0% | 0.63 | 0.24 | 22.6x | 29 | 47% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
15.8% | -51.3% | 0.61 | 0.31 | 18.0x | 110 | 43% |
| ROC 모멘텀 n=73, threshold=0 |
16.2% | -72.0% | 0.59 | 0.22 | 19.2x | 156 | 53% |
| ADX / DI 방향성 period=39, threshold=15 |
12.9% | -60.2% | 0.56 | 0.21 | 11.0x | 101 | 30% |
| Supertrend period=20, mult=3.4 |
12.3% | -61.3% | 0.51 | 0.20 | 9.8x | 104 | 48% |
| MACD fast=18, slow=56, signal=17 |
9.6% | -70.3% | 0.44 | 0.14 | 6.1x | 199 | 51% |
| Parabolic SAR step=0.02, maxStep=0.26 |
3.9% | -76.7% | 0.28 | 0.05 | 2.1x | 383 | 53% |
| Buy and hold | 8.7% | -83.8% | 0.42 | 0.10 | 5.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 98 days
- Sell — Sell when price breaks below the lowest low of the last 74 days