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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -8.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.1%, drawdown -73.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.1%, MDD -24.7%, Sharpe 0.22, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 49.0%p (CAGR 0.8%, MDD -8.1%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=2.7 |
2.1% | -24.7% | 0.22 | 0.08 | 1.2x | 21 | 15% |
| ADX / DI 방향성 period=15, threshold=37 |
0.8% | -8.1% | 0.17 | 0.10 | 1.1x | 8 | 4% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
0.7% | -30.2% | 0.12 | 0.02 | 1.1x | 22 | 17% |
| Donchian 채널 돌파 entryN=77, exitN=9 |
0.6% | -25.4% | 0.11 | 0.02 | 1.1x | 22 | 13% |
| Supertrend period=22, mult=2.1 |
-1.6% | -53.5% | 0.05 | -0.03 | 0.9x | 89 | 49% |
| EMA 크로스오버 fast=34, slow=199 |
-2.2% | -34.9% | -0.06 | -0.06 | 0.8x | 11 | 31% |
| SMA 크로스오버 fast=47, slow=71 |
-4.3% | -53.0% | -0.10 | -0.08 | 0.7x | 38 | 43% |
| MACD fast=21, slow=57, signal=23 |
-4.9% | -68.0% | -0.10 | -0.07 | 0.6x | 71 | 48% |
| ROC 모멘텀 n=109, threshold=0.03 |
-3.9% | -39.6% | -0.12 | -0.10 | 0.7x | 70 | 34% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-12.5% | -76.2% | -0.47 | -0.16 | 0.3x | 257 | 50% |
| Buy and hold | -7.1% | -73.7% | -0.06 | -0.10 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average