Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Wharf Real Estate Investment Company Limited backtest
10 trend-following strategies were compared on the full daily history of Wharf Real Estate Investment Company Limited. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.5%, MDD -8.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.4%, drawdown -73.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.5%, MDD -8.1%, Sharpe 0.34, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 3.8%, MDD -24.7%, exposure 16%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 65.6%p (CAGR 2.5%, MDD -8.1%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=15, threshold=37 |
2.5% | -8.1% | 0.34 | 0.31 | 1.2x | 9 | 5% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=2.7 |
3.8% | -24.7% | 0.33 | 0.15 | 1.4x | 21 | 16% |
| Donchian 채널 돌파 entryN=77, exitN=9 |
2.3% | -25.4% | 0.23 | 0.09 | 1.2x | 23 | 14% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
1.0% | -30.2% | 0.14 | 0.03 | 1.1x | 23 | 17% |
| Supertrend period=22, mult=2.1 |
0.2% | -53.5% | 0.13 | 0.00 | 1.0x | 89 | 49% |
| EMA 크로스오버 fast=34, slow=199 |
-0.5% | -34.9% | 0.06 | -0.01 | 1.0x | 11 | 32% |
| MACD fast=21, slow=57, signal=23 |
-3.2% | -68.0% | -0.02 | -0.05 | 0.7x | 71 | 48% |
| ROC 모멘텀 n=109, threshold=0.03 |
-3.6% | -39.6% | -0.10 | -0.09 | 0.7x | 71 | 34% |
| SMA 크로스오버 fast=47, slow=71 |
-4.7% | -53.0% | -0.12 | -0.09 | 0.7x | 39 | 43% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-12.3% | -76.2% | -0.46 | -0.16 | 0.3x | 259 | 50% |
| Buy and hold | -5.4% | -73.7% | -0.00 | -0.07 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 15-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)