Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Far East Horizon Limited backtest
10 trend-following strategies were compared on the full daily history of Far East Horizon Limited. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 33.3%, MDD -36.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.7%, drawdown -81.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.0%, MDD -8.0%, Sharpe 0.28, 1% exposure.
CAGR reference leader: MACD — CAGR 33.9%, MDD -62.5%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 21.7%p lower than buy and hold, while drawdown improves by 73.2%p (CAGR 33.3%, MDD -36.0%, exposure 23%).
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=13, atrPeriod=27, mult=3.8 |
1.0% | -8.0% | 0.28 | 0.13 | 1.2x | 2 | 1% |
| ADX / DI 방향성 period=35, threshold=37 |
1.3% | -18.0% | 0.27 | 0.07 | 1.3x | 2 | 2% |
| MACD fast=21, slow=60, signal=17 |
33.9% | -62.5% | 0.23 | 0.54 | 234.7x | 147 | 58% |
| Donchian 채널 돌파 entryN=118, exitN=7 |
33.3% | -36.0% | 0.23 | 0.93 | 216.9x | 34 | 23% |
| ROC 모멘텀 n=114, threshold=-0.01 |
26.3% | -80.9% | 0.23 | 0.33 | 78.9x | 130 | 60% |
| EMA 크로스오버 fast=40, slow=42 |
22.9% | -84.5% | 0.23 | 0.27 | 47.4x | 66 | 42% |
| 볼린저 밴드 돌파 n=58, k=3 |
0.3% | -33.8% | 0.08 | 0.01 | 1.1x | 20 | 12% |
| SMA 크로스오버 fast=37, slow=48 |
-1.5% | -56.6% | 0.02 | -0.03 | 0.8x | 114 | 41% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-6.4% | -81.7% | -0.11 | -0.08 | 0.3x | 275 | 42% |
| Supertrend period=9, mult=1.9 |
-7.4% | -82.2% | -0.15 | -0.09 | 0.2x | 145 | 44% |
| Buy and hold | 22.7% | -81.3% | 0.23 | 0.28 | 45.7x | 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 13-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average