Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Geely Automobile Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Geely Automobile Holdings Limited. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.9%, MDD -40.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 19.4%, drawdown -84.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 28.1%, MDD -55.3%, Sharpe 0.87, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 22.9%, MDD -40.5%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.06 |
28.1% | -55.3% | 0.87 | 0.51 | 177.1x | 236 | 50% |
| 볼린저 밴드 돌파 n=52, k=2.2 |
22.9% | -40.5% | 0.84 | 0.57 | 74.8x | 68 | 34% |
| MACD fast=18, slow=46, signal=11 |
26.7% | -62.3% | 0.84 | 0.43 | 140.5x | 244 | 50% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=11, mult=2.5 |
21.2% | -46.6% | 0.81 | 0.45 | 55.4x | 90 | 29% |
| EMA 크로스오버 fast=8, slow=32 |
25.1% | -56.5% | 0.81 | 0.44 | 108.4x | 176 | 53% |
| Supertrend period=12, mult=4.3 |
25.0% | -52.4% | 0.79 | 0.48 | 106.4x | 73 | 55% |
| SMA 크로스오버 fast=7, slow=70 |
24.3% | -59.6% | 0.78 | 0.41 | 95.1x | 106 | 53% |
| ADX / DI 방향성 period=35, threshold=16 |
19.7% | -51.0% | 0.76 | 0.39 | 42.9x | 96 | 29% |
| ROC 모멘텀 n=63, threshold=0.04 |
22.0% | -50.5% | 0.74 | 0.43 | 63.9x | 194 | 47% |
| Donchian 채널 돌파 entryN=31, exitN=27 |
21.6% | -56.8% | 0.73 | 0.38 | 59.9x | 82 | 52% |
| Buy and hold | 19.4% | -84.1% | 0.61 | 0.23 | 40.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots