Trend-Following Backtester · Guide · backtest 한국어
equity · HK
MTR Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of MTR Corporation Limited. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.3%, MDD -28.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.8%, drawdown -62.6%).
Sharpe leader (same as main): Supertrend — CAGR 4.3%, MDD -28.2%, Sharpe 0.36, 49% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.3%, MDD -47.4%, exposure 60%.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 4.3%, MDD -28.2%, exposure 49%).
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=10, mult=3.8 |
4.3% | -28.2% | 0.36 | 0.15 | 2.9x | 91 | 49% |
| Donchian 채널 돌파 entryN=32, exitN=52 |
4.3% | -47.4% | 0.34 | 0.09 | 3.0x | 67 | 60% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
3.3% | -31.4% | 0.31 | 0.11 | 2.3x | 107 | 35% |
| SMA 크로스오버 fast=53, slow=114 |
3.5% | -45.9% | 0.30 | 0.08 | 2.4x | 62 | 53% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.11 |
3.8% | -62.3% | 0.28 | 0.06 | 2.6x | 27 | 99% |
| EMA 크로스오버 fast=51, slow=135 |
2.7% | -43.9% | 0.25 | 0.06 | 2.0x | 43 | 57% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=8, mult=2.6 |
2.4% | -27.1% | 0.24 | 0.09 | 1.8x | 84 | 33% |
| MACD fast=16, slow=47, signal=29 |
0.8% | -52.7% | 0.13 | 0.02 | 1.2x | 233 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.2% | -60.8% | 0.07 | -0.00 | 0.9x | 195 | 51% |
| ADX / DI 방향성 period=26, threshold=16 |
-2.0% | -60.3% | -0.11 | -0.03 | 0.6x | 180 | 24% |
| Buy and hold | 3.8% | -62.6% | 0.28 | 0.06 | 2.6x | 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) — 10-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)