Trend-Following Backtester · Guide · backtest 한국어
equity · HK
HUTCHMED (China) Limited backtest
10 trend-following strategies were compared on the full daily history of HUTCHMED (China) Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.7%, MDD -17.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.5%, drawdown -84.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.9%, MDD -30.7%, Sharpe 0.50, 33% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 33.3%p higher than buy and hold, while drawdown improves by 54.2%p (CAGR 6.7%, MDD -17.3%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=8 |
11.9% | -30.7% | 0.50 | 0.39 | 1.8x | 31 | 33% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
6.7% | -17.3% | 0.49 | 0.39 | 1.4x | 2 | 5% |
| MACD fast=23, slow=39, signal=28 |
3.5% | -51.4% | 0.30 | 0.07 | 1.2x | 31 | 46% |
| Supertrend period=30, mult=2.1 |
0.3% | -55.2% | 0.20 | 0.01 | 1.0x | 43 | 39% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.3% | -52.5% | 0.20 | -0.01 | 1.0x | 35 | 45% |
| ROC 모멘텀 n=26, threshold=-0.01 |
-4.1% | -54.3% | 0.08 | -0.08 | 0.8x | 83 | 46% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=24, mult=1.6 |
-2.2% | -52.9% | 0.08 | -0.04 | 0.9x | 32 | 24% |
| ADX / DI 방향성 period=33, threshold=26 |
-1.1% | -20.6% | -0.06 | -0.05 | 0.9x | 2 | 2% |
| EMA 크로스오버 fast=12, slow=26 |
-10.2% | -69.3% | -0.09 | -0.15 | 0.6x | 37 | 42% |
| SMA 크로스오버 fast=30, slow=182 |
-8.7% | -58.8% | -0.14 | -0.15 | 0.6x | 8 | 36% |
| Buy and hold | -21.5% | -84.8% | -0.13 | -0.25 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 8 days