Trend-Following Backtester · Guide · backtest 한국어

equity · HK

KunLun Energy Co. Ltd. backtest

10 trend-following strategies were compared on the full daily history of KunLun Energy Co. Ltd.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.9%, MDD -55.1%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,623 (26.6 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 7.9%, drawdown -82.3%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.9%, MDD -55.8%, Sharpe 0.51, 31% exposure.

CAGR reference leader: MACD — CAGR 11.0%, MDD -66.0%, exposure 51%.

Return/drawdown alternative: Supertrend — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 9.9%, MDD -55.1%, exposure 50%).

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
ADX / DI 방향성
period=23, threshold=17
9.9%-55.8%0.510.1812.3x16331%
MACD
fast=29, slow=45, signal=23
11.0%-66.0%0.510.1716.0x19951%
Supertrend
period=9, mult=3.5
9.9%-55.1%0.470.1812.4x11550%
볼린저 밴드 돌파
n=23, k=3.2
5.8%-28.1%0.450.214.4x4810%
Keltner 채널 돌파
emaPeriod=22, atrPeriod=28, mult=3.2
5.6%-36.8%0.400.154.2x7214%
Donchian 채널 돌파
entryN=40, exitN=61
7.2%-74.7%0.380.106.3x5963%
EMA 크로스오버
fast=19, slow=183
6.6%-72.8%0.370.095.4x6053%
SMA 크로스오버
fast=15, slow=158
6.0%-78.7%0.350.084.8x7851%
Parabolic SAR
step=0.005, maxStep=0.26
5.3%-83.5%0.320.063.9x19549%
ROC 모멘텀
n=149, threshold=0.01
3.2%-75.7%0.260.042.3x22652%
Buy and hold7.9%-82.3%0.390.107.5x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 MACDADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -21% -41% -62% -82% 2001 2005 2009 2013 2017 2021 2025 Buy and holdMACDADX / DI 방향성
ADX / DI 방향성 maximum drawdown -55.8% (2021-05-18 → 2026-07-22), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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