Trend-Following Backtester · Guide · backtest 한국어
equity · HK
ANTA Sports Products Ltd. backtest
10 trend-following strategies were compared on the full daily history of ANTA Sports Products Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.3%, MDD -48.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.0%, drawdown -81.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -48.1%, Sharpe 0.64, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 16.3%, MDD -48.1%, exposure 61%).
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=69, exitN=69 |
16.3% | -48.1% | 0.64 | 0.34 | 17.9x | 26 | 61% |
| EMA 크로스오버 fast=46, slow=65 |
15.4% | -63.2% | 0.62 | 0.24 | 15.5x | 38 | 58% |
| SMA 크로스오버 fast=9, slow=233 |
14.8% | -58.8% | 0.60 | 0.25 | 14.0x | 30 | 58% |
| Supertrend period=32, mult=4.3 |
13.2% | -51.0% | 0.56 | 0.26 | 10.7x | 63 | 55% |
| ROC 모멘텀 n=62, threshold=-0.07 |
9.3% | -67.1% | 0.43 | 0.14 | 5.4x | 177 | 70% |
| 볼린저 밴드 돌파 n=30, k=1.5 |
5.7% | -56.6% | 0.34 | 0.10 | 2.9x | 157 | 39% |
| MACD fast=17, slow=52, signal=19 |
3.8% | -58.0% | 0.28 | 0.07 | 2.0x | 197 | 51% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=1.1 |
2.6% | -57.4% | 0.23 | 0.04 | 1.6x | 177 | 45% |
| ADX / DI 방향성 period=17, threshold=16 |
0.5% | -67.9% | 0.16 | 0.01 | 1.1x | 260 | 43% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-1.6% | -62.7% | 0.11 | -0.03 | 0.7x | 331 | 52% |
| Buy and hold | 13.0% | -81.3% | 0.50 | 0.16 | 10.3x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 69 days