Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Greentown China Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Greentown China Holdings Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.7%, MDD -23.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -90.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -46.5%, Sharpe 0.51, 17% exposure.
CAGR reference leader: Supertrend — CAGR 10.0%, MDD -58.6%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 4.7%, MDD -23.5%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=2.9 |
9.4% | -46.5% | 0.51 | 0.20 | 6.1x | 52 | 17% |
| ADX / DI 방향성 period=13, threshold=38 |
6.6% | -34.5% | 0.45 | 0.19 | 3.6x | 50 | 10% |
| Supertrend period=14, mult=1.8 |
10.0% | -58.6% | 0.44 | 0.17 | 6.7x | 263 | 46% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=27, mult=3.3 |
4.7% | -23.5% | 0.42 | 0.20 | 2.5x | 26 | 4% |
| Donchian 채널 돌파 entryN=38, exitN=13 |
7.0% | -69.6% | 0.38 | 0.10 | 3.9x | 88 | 27% |
| MACD fast=11, slow=43, signal=14 |
6.9% | -77.8% | 0.37 | 0.09 | 3.8x | 261 | 50% |
| Parabolic SAR step=0.025, maxStep=0.34 |
3.5% | -77.1% | 0.28 | 0.04 | 2.0x | 483 | 49% |
| SMA 크로스오버 fast=51, slow=106 |
3.4% | -77.5% | 0.27 | 0.04 | 2.0x | 48 | 48% |
| ROC 모멘텀 n=93, threshold=-0.04 |
2.7% | -86.0% | 0.26 | 0.03 | 1.7x | 160 | 54% |
| EMA 크로스오버 fast=53, slow=139 |
-1.0% | -83.1% | 0.15 | -0.01 | 0.8x | 32 | 47% |
| Buy and hold | -1.1% | -90.8% | 0.25 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 38-day middle average