Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Kingboard Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Kingboard Holdings Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.5%, MDD -47.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.8%, drawdown -83.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.7%, MDD -72.2%, Sharpe 0.78, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 16.5%, MDD -47.6%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=63 |
21.7% | -72.2% | 0.78 | 0.30 | 183.4x | 101 | 56% |
| EMA 크로스오버 fast=29, slow=48 |
19.4% | -67.1% | 0.71 | 0.29 | 111.5x | 80 | 59% |
| Donchian 채널 돌파 entryN=33, exitN=56 |
19.7% | -70.2% | 0.70 | 0.28 | 120.0x | 60 | 66% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
16.9% | -50.3% | 0.69 | 0.34 | 63.7x | 158 | 43% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=24, mult=2 |
16.5% | -47.6% | 0.69 | 0.35 | 57.6x | 126 | 41% |
| ROC 모멘텀 n=54, threshold=0.01 |
16.3% | -66.9% | 0.63 | 0.24 | 55.0x | 340 | 56% |
| Supertrend period=21, mult=4.4 |
16.2% | -60.1% | 0.63 | 0.27 | 54.6x | 92 | 60% |
| ADX / DI 방향성 period=20, threshold=1 |
14.3% | -58.1% | 0.58 | 0.25 | 34.9x | 392 | 57% |
| MACD fast=21, slow=51, signal=14 |
8.4% | -84.4% | 0.42 | 0.10 | 8.6x | 282 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
7.3% | -79.4% | 0.38 | 0.09 | 6.5x | 438 | 53% |
| Buy and hold | 10.8% | -83.0% | 0.46 | 0.13 | 15.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 63-day average
- Sell — Sell (to cash) when the 47-day average falls below the 63-day average