SleepWell Trade

Trend-Following Backtester · Guide · backtest 한국어

equity · HK

New World Development Co. Ltd. backtest

10 trend-following strategies were compared on the full daily history of New World Development Co. Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.1%, MDD -38.9%).

Data 2000-01-04 ~ 2026-08-31daily bars 6,644 (26.7 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-08-31

Results by strategy

10 of 10 beat buy and hold (CAGR -7.8%, drawdown -96.1%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -56.8%, Sharpe 0.48, 35% exposure.

CAGR reference leader: Supertrend — CAGR 9.8%, MDD -63.2%, exposure 47%.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 6.1%, MDD -38.9%, exposure 18%).

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
볼린저 밴드 돌파
n=40, k=1.2
9.4%-56.8%0.480.1710.9x16735%
Supertrend
period=5, mult=3.4
9.8%-63.2%0.480.1612.2x13847%
Donchian 채널 돌파
entryN=21, exitN=16
8.2%-68.3%0.430.128.2x14342%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=13, mult=1.2
7.3%-59.3%0.410.126.5x23033%
ROC 모멘텀
n=24, threshold=0.1
6.1%-38.9%0.380.164.8x29618%
MACD
fast=18, slow=31, signal=7
7.1%-74.5%0.380.106.3x40750%
EMA 크로스오버
fast=30, slow=139
5.0%-50.6%0.320.103.7x4643%
SMA 크로스오버
fast=51, slow=122
4.8%-56.6%0.310.083.5x5044%
Parabolic SAR
step=0.005, maxStep=0.26
4.5%-84.5%0.300.053.2x19946%
ADX / DI 방향성
period=22, threshold=16
1.1%-85.0%0.170.011.3x26331%
Buy and hold-7.8%-96.1%-0.00-0.080.1x1100%
0.1 1x 10x 2001 2005 2009 2013 2017 2021 2025 Supertrend볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -24% -48% -72% -96% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrend볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -56.8% (2019-02-22 → 2024-09-03), recovered after 2,534 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore HK assetsAll asset reports

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