Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Dongyue Group Limited backtest
10 trend-following strategies were compared on the full daily history of Dongyue Group Limited. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 27.0%, MDD -58.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.2%, drawdown -88.4%).
Sharpe leader (same as main): MACD — CAGR 27.0%, MDD -58.3%, Sharpe 0.73, 53% exposure.
Return/drawdown alternative: MACD — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 27.0%, MDD -58.3%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=28, slow=58, signal=17 |
27.0% | -58.3% | 0.73 | 0.46 | 88.2x | 130 | 53% |
| Parabolic SAR step=0.005, maxStep=0.14 |
26.3% | -76.1% | 0.72 | 0.35 | 79.3x | 133 | 52% |
| 볼린저 밴드 돌파 n=33, k=2.4 |
19.7% | -59.3% | 0.71 | 0.33 | 28.8x | 76 | 25% |
| Donchian 채널 돌파 entryN=91, exitN=63 |
25.0% | -65.4% | 0.70 | 0.38 | 65.0x | 23 | 45% |
| Supertrend period=17, mult=5 |
24.5% | -62.8% | 0.69 | 0.39 | 60.6x | 40 | 55% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=20, mult=1.9 |
17.9% | -59.2% | 0.67 | 0.30 | 21.9x | 112 | 24% |
| EMA 크로스오버 fast=30, slow=125 |
19.8% | -69.9% | 0.66 | 0.28 | 29.4x | 30 | 43% |
| SMA 크로스오버 fast=7, slow=24 |
17.3% | -64.8% | 0.60 | 0.27 | 19.9x | 193 | 44% |
| ROC 모멘텀 n=88, threshold=0.09 |
15.7% | -67.9% | 0.57 | 0.23 | 15.4x | 145 | 40% |
| ADX / DI 방향성 period=34, threshold=11 |
12.3% | -81.5% | 0.50 | 0.15 | 8.8x | 167 | 44% |
| Buy and hold | 11.2% | -88.4% | 0.46 | 0.13 | 7.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (28/58) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line