Trend-Following Backtester · Guide · backtest 한국어

equity · HK

C&D International Investment Group Ltd. backtest

10 trend-following strategies were compared on the full daily history of C&D International Investment Group Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 29.0%, MDD -51.2%).

Data 2012-12-14 ~ 2026-07-31daily bars 3,352 (13.6 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 28.8%, drawdown -65.3%).

Sharpe leader (same as main): Supertrend — CAGR 29.0%, MDD -51.2%, Sharpe 0.84, 54% exposure.

Return/drawdown alternative: Supertrend — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 14.1%p (CAGR 29.0%, MDD -51.2%, exposure 54%).

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
Supertrend
period=13, mult=2.4
29.0%-51.2%0.840.5732.2x9954%
SMA 크로스오버
fast=45, slow=288
23.9%-64.6%0.700.3718.5x1264%
EMA 크로스오버
fast=53, slow=197
23.9%-64.6%0.690.3718.5x1264%
Donchian 채널 돌파
entryN=47, exitN=6
14.3%-45.5%0.560.316.2x6822%
Keltner 채널 돌파
emaPeriod=7, atrPeriod=23, mult=1.1
13.2%-64.8%0.560.205.4x13817%
MACD
fast=16, slow=59, signal=17
15.4%-59.6%0.560.267.1x14148%
ROC 모멘텀
n=120, threshold=0.06
14.2%-64.6%0.520.226.1x12852%
볼린저 밴드 돌파
n=34, k=2.1
13.3%-57.6%0.520.235.5x6828%
Parabolic SAR
step=0.015, maxStep=0.2
13.8%-61.6%0.520.225.8x21151%
ADX / DI 방향성
period=13, threshold=11
13.5%-64.4%0.510.215.6x27952%
Buy and hold28.8%-65.3%0.740.4431.3x1100%
1x 10x 2013 2015 2017 2019 2021 2023 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -33% -49% -65% 2013 2015 2017 2019 2021 2023 2025 Buy and holdSupertrend
Supertrend maximum drawdown -51.2% (2015-06-12 → 2016-08-17), recovered after 959 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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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