Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Bank of East Asia Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bank of East Asia Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -8.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.2%, drawdown -85.8%).
Sharpe leader (same as main): Supertrend — CAGR 3.0%, MDD -54.8%, Sharpe 0.25, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 0.5%, MDD -8.7%, exposure 1%).
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=12, mult=3.6 |
3.0% | -54.8% | 0.25 | 0.05 | 2.2x | 113 | 49% |
| EMA 크로스오버 fast=77, slow=207 |
2.7% | -61.8% | 0.24 | 0.04 | 2.0x | 35 | 49% |
| ROC 모멘텀 n=122, threshold=0.21 |
1.9% | -42.0% | 0.22 | 0.05 | 1.7x | 73 | 12% |
| ADX / DI 방향성 period=39, threshold=31 |
0.5% | -8.7% | 0.19 | 0.06 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=15, slow=108 |
1.5% | -67.9% | 0.17 | 0.02 | 1.5x | 87 | 49% |
| Donchian 채널 돌파 entryN=30, exitN=58 |
1.4% | -72.1% | 0.17 | 0.02 | 1.5x | 73 | 64% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
0.1% | -65.9% | 0.09 | 0.00 | 1.0x | 103 | 31% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=28, mult=2.3 |
0.1% | -67.3% | 0.08 | 0.00 | 1.0x | 99 | 27% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-1.6% | -71.2% | 0.01 | -0.02 | 0.6x | 341 | 50% |
| MACD fast=12, slow=53, signal=6 |
-4.8% | -89.3% | -0.16 | -0.05 | 0.3x | 521 | 51% |
| Buy and hold | -0.2% | -85.8% | 0.14 | -0.00 | 1.0x | 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) — 12-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)