Trend-Following Backtester · Guide · backtest 한국어
equity · HK
HK Electric Investments & HK Electric Investments Ltd. backtest
10 trend-following strategies were compared on the full daily history of HK Electric Investments & HK Electric Investments 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 2.8%, MDD -25.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.5%, drawdown -48.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -25.7%, Sharpe 0.32, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 2.8%, MDD -25.7%, exposure 67%).
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=47, exitN=81 |
2.8% | -25.7% | 0.32 | 0.11 | 1.4x | 20 | 67% |
| SMA 크로스오버 fast=34, slow=141 |
2.6% | -30.8% | 0.31 | 0.08 | 1.4x | 22 | 58% |
| Supertrend period=35, mult=3.5 |
2.4% | -27.0% | 0.30 | 0.09 | 1.3x | 49 | 50% |
| EMA 크로스오버 fast=55, slow=130 |
1.9% | -37.5% | 0.24 | 0.05 | 1.3x | 22 | 62% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=35, mult=2.8 |
1.1% | -24.9% | 0.20 | 0.04 | 1.1x | 32 | 21% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
0.6% | -12.0% | 0.16 | 0.05 | 1.1x | 20 | 8% |
| ROC 모멘텀 n=10, threshold=-0.04 |
1.0% | -43.5% | 0.15 | 0.02 | 1.1x | 95 | 94% |
| MACD fast=23, slow=26, signal=23 |
-1.5% | -50.0% | -0.11 | -0.03 | 0.8x | 129 | 51% |
| ADX / DI 방향성 period=19, threshold=25 |
-1.1% | -26.4% | -0.11 | -0.04 | 0.9x | 72 | 19% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.0% | -49.4% | -0.16 | -0.04 | 0.8x | 86 | 49% |
| Buy and hold | 1.5% | -48.0% | 0.18 | 0.03 | 1.2x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 81 days