Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hangzhou Hikvision Digital Technology Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Hangzhou Hikvision Digital Technology Co., Ltd Class A. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.6%, MDD -47.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.7%, drawdown -63.7%).
Sharpe leader (same as main): Supertrend — CAGR 14.1%, MDD -48.0%, Sharpe 0.63, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 13.6%, MDD -47.8%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.1 |
14.1% | -48.0% | 0.63 | 0.29 | 8.0x | 51 | 57% |
| SMA 크로스오버 fast=41, slow=168 |
13.6% | -47.8% | 0.61 | 0.29 | 7.4x | 21 | 57% |
| Donchian 채널 돌파 entryN=16, exitN=69 |
13.9% | -62.6% | 0.58 | 0.22 | 7.7x | 37 | 80% |
| ROC 모멘텀 n=79, threshold=-0.04 |
11.0% | -58.2% | 0.52 | 0.19 | 5.1x | 133 | 64% |
| EMA 크로스오버 fast=18, slow=110 |
10.7% | -54.2% | 0.51 | 0.20 | 4.9x | 43 | 58% |
| ADX / DI 방향성 period=32, threshold=37 |
2.1% | -9.5% | 0.43 | 0.23 | 1.4x | 2 | 2% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
6.7% | -33.7% | 0.41 | 0.20 | 2.8x | 44 | 29% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.7% | -52.2% | 0.38 | 0.13 | 2.8x | 124 | 51% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=1.8 |
5.4% | -60.3% | 0.34 | 0.09 | 2.3x | 88 | 41% |
| MACD fast=18, slow=59, signal=12 |
4.5% | -54.5% | 0.30 | 0.08 | 2.0x | 196 | 53% |
| Buy and hold | 12.7% | -63.7% | 0.52 | 0.20 | 6.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)