Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Haidilao International Holding Ltd. backtest

10 trend-following strategies were compared on the full daily history of Haidilao International Holding Ltd.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.0%, MDD -23.6%).

Data 2018-09-26 ~ 2026-07-31daily bars 1,928 (7.8 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -5.1%, drawdown -87.9%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.0%, MDD -23.6%, Sharpe 0.45, 6% exposure.

CAGR reference leader: Supertrend — CAGR 8.8%, MDD -57.7%, exposure 50%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 64.3%p (CAGR 5.0%, MDD -23.6%, exposure 6%).

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
Keltner 채널 돌파
emaPeriod=21, atrPeriod=19, mult=3.6
5.0%-23.6%0.450.211.5x86%
Supertrend
period=28, mult=4.9
8.8%-57.7%0.420.151.9x1850%
ROC 모멘텀
n=58, threshold=-0.04
6.3%-57.5%0.350.111.6x8053%
SMA 크로스오버
fast=16, slow=65
5.9%-58.3%0.340.101.6x3446%
볼린저 밴드 돌파
n=47, k=3.4
4.6%-24.8%0.340.181.4x1213%
Donchian 채널 돌파
entryN=36, exitN=32
5.4%-67.1%0.330.081.5x2049%
EMA 크로스오버
fast=8, slow=63
4.2%-59.8%0.290.071.4x4247%
MACD
fast=18, slow=32, signal=16
3.7%-73.6%0.290.051.3x8551%
ADX / DI 방향성
period=9, threshold=37
-1.3%-49.3%0.01-0.030.9x5013%
Parabolic SAR
step=0.01, maxStep=0.24
-6.4%-78.9%-0.01-0.080.6x11148%
Buy and hold-5.1%-87.9%0.16-0.060.7x1100%
1x 2019 2020 2021 2022 2023 2024 2025 2026 SupertrendKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -22% -44% -66% -88% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdSupertrendKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -23.6% (2020-09-18 → 2024-10-16), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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