Trend-Following Backtester · Guide · backtest 한국어

equity · HK

XD, Inc. backtest

10 trend-following strategies were compared on the full daily history of XD, Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 41.9%, MDD -56.4%).

Data 2019-12-12 ~ 2026-07-31daily bars 1,629 (6.6 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 23.2%, drawdown -93.1%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 42.3%, MDD -57.6%, Sharpe 0.95, 55% exposure.

Return/drawdown alternative: Supertrend — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 41.9%, MDD -56.4%, 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
ROC 모멘텀
n=119, threshold=-0.03
42.3%-57.6%0.950.7310.4x2055%
Supertrend
period=12, mult=5
41.9%-56.4%0.930.7410.2x1454%
SMA 크로스오버
fast=17, slow=124
37.6%-57.6%0.900.658.3x1049%
EMA 크로스오버
fast=41, slow=111
39.1%-62.6%0.900.628.9x655%
Parabolic SAR
step=0.035, maxStep=0.04
38.8%-76.0%0.890.518.8x6947%
ADX / DI 방향성
period=37, threshold=11
31.4%-64.8%0.800.486.1x5446%
볼린저 밴드 돌파
n=23, k=1.2
31.2%-68.7%0.800.456.0x6637%
MACD
fast=15, slow=57, signal=10
29.8%-77.4%0.770.395.6x8147%
Donchian 채널 돌파
entryN=11, exitN=79
26.7%-87.1%0.690.314.8x2080%
Keltner 채널 돌파
emaPeriod=23, atrPeriod=29, mult=2.3
20.2%-45.7%0.660.443.4x3023%
Buy and hold23.2%-93.1%0.650.254.0x1100%
1x 10x 2020 2021 2022 2023 2024 2025 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -47% -70% -93% 2020 2021 2022 2023 2024 2025 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -57.6% (2021-02-16 → 2021-03-31), recovered after 1,451 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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