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 6.5%, MDD -17.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.8%, drawdown -84.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -28.2%, Sharpe 0.59, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 32.0%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 6.5%, MDD -17.3%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=8 |
15.2% | -28.2% | 0.59 | 0.54 | 2.1x | 31 | 34% |
| 볼린저 밴드 돌파 n=34, k=3.2 |
6.5% | -17.3% | 0.48 | 0.38 | 1.4x | 2 | 4% |
| SMA 크로스오버 fast=8, slow=35 |
8.3% | -47.0% | 0.40 | 0.18 | 1.5x | 33 | 43% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=23, mult=3.5 |
4.6% | -23.0% | 0.37 | 0.20 | 1.3x | 4 | 5% |
| MACD fast=9, slow=51, signal=18 |
4.8% | -58.0% | 0.33 | 0.08 | 1.3x | 59 | 48% |
| Supertrend period=10, mult=2.7 |
4.5% | -54.7% | 0.31 | 0.08 | 1.3x | 37 | 48% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.0% | -52.5% | 0.30 | 0.08 | 1.2x | 37 | 47% |
| ROC 모멘텀 n=33, threshold=0.06 |
1.4% | -62.1% | 0.22 | 0.02 | 1.1x | 75 | 35% |
| EMA 크로스오버 fast=8, slow=14 |
-2.9% | -59.3% | 0.14 | -0.05 | 0.9x | 59 | 44% |
| ADX / DI 방향성 period=21, threshold=21 |
0.1% | -49.8% | 0.13 | 0.00 | 1.0x | 27 | 21% |
| Buy and hold | -16.8% | -84.8% | -0.03 | -0.20 | 0.4x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 8 days