Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Wharf (Holdings) Ltd. backtest
10 trend-following strategies were compared on the full daily history of Wharf (Holdings) Ltd.. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 7.5%, MDD -40.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.8%, drawdown -74.6%).
Sharpe leader (same as main): Supertrend — CAGR 9.7%, MDD -48.4%, Sharpe 0.49, 53% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 7.5%, MDD -40.2%, exposure 51%).
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=8, mult=2.9 |
9.7% | -48.4% | 0.49 | 0.20 | 11.8x | 177 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
7.5% | -40.2% | 0.42 | 0.19 | 6.9x | 214 | 51% |
| ADX / DI 방향성 period=12, threshold=8 |
6.7% | -50.5% | 0.39 | 0.13 | 5.7x | 552 | 51% |
| MACD fast=16, slow=29, signal=16 |
6.6% | -50.5% | 0.38 | 0.13 | 5.6x | 337 | 52% |
| Donchian 채널 돌파 entryN=33, exitN=25 |
5.8% | -46.2% | 0.36 | 0.13 | 4.5x | 107 | 49% |
| SMA 크로스오버 fast=55, slow=132 |
5.5% | -60.3% | 0.34 | 0.09 | 4.2x | 62 | 54% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
2.6% | -31.1% | 0.30 | 0.08 | 2.0x | 46 | 9% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=3.7 |
3.4% | -40.8% | 0.29 | 0.08 | 2.5x | 66 | 25% |
| EMA 크로스오버 fast=55, slow=212 |
3.9% | -55.4% | 0.28 | 0.07 | 2.8x | 30 | 57% |
| ROC 모멘텀 n=84, threshold=0.01 |
2.4% | -59.0% | 0.22 | 0.04 | 1.9x | 264 | 51% |
| Buy and hold | 4.8% | -74.6% | 0.31 | 0.06 | 3.5x | 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) — 8-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)