Trend-Following Backtester · Guide · backtest 한국어
equity · HK
BOC Hong Kong (Holdings) Limited backtest
10 trend-following strategies were compared on the full daily history of BOC Hong Kong (Holdings) Limited. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.1%, MDD -35.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.1%, drawdown -73.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -47.7%, Sharpe 0.57, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 8.1%, MDD -35.2%, exposure 60%).
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=35, exitN=64 |
9.7% | -47.7% | 0.57 | 0.20 | 9.2x | 49 | 65% |
| SMA 크로스오버 fast=29, slow=84 |
8.6% | -38.9% | 0.54 | 0.22 | 7.3x | 71 | 57% |
| 볼린저 밴드 돌파 n=58, k=3 |
5.4% | -23.5% | 0.51 | 0.23 | 3.6x | 34 | 17% |
| EMA 크로스오버 fast=36, slow=136 |
8.1% | -35.2% | 0.51 | 0.23 | 6.5x | 41 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=4 |
5.8% | -23.0% | 0.49 | 0.25 | 3.9x | 49 | 24% |
| ROC 모멘텀 n=120, threshold=0.04 |
7.1% | -41.9% | 0.48 | 0.17 | 5.2x | 187 | 49% |
| Supertrend period=8, mult=4.5 |
6.0% | -50.4% | 0.42 | 0.12 | 4.1x | 85 | 53% |
| ADX / DI 방향성 period=36, threshold=23 |
2.9% | -41.6% | 0.34 | 0.07 | 2.0x | 24 | 9% |
| Parabolic SAR step=0.01, maxStep=0.16 |
2.1% | -62.7% | 0.21 | 0.03 | 1.7x | 295 | 54% |
| MACD fast=17, slow=29, signal=7 |
-1.4% | -60.5% | 0.01 | -0.02 | 0.7x | 431 | 51% |
| Buy and hold | 8.1% | -73.2% | 0.43 | 0.11 | 6.5x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 64 days