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 27.2%, MDD -58.3%).

Data 2007-12-10 ~ 2026-07-31daily bars 4,593 (18.6 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 10.3%, drawdown -88.4%).

Sharpe leader (same as main): MACD — CAGR 27.2%, MDD -58.3%, Sharpe 0.73, 54% exposure.

Return/drawdown alternative: MACD — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 27.2%, MDD -58.3%, exposure 54%).

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
MACD
fast=28, slow=58, signal=17
27.2%-58.3%0.730.4788.2x13054%
볼린저 밴드 돌파
n=33, k=2.4
19.8%-59.3%0.720.3328.8x7625%
Parabolic SAR
step=0.005, maxStep=0.14
25.7%-76.1%0.710.3470.7x13252%
Supertrend
period=17, mult=5
24.6%-62.8%0.690.3960.6x4055%
Donchian 채널 돌파
entryN=91, exitN=63
24.0%-65.4%0.680.3755.4x2345%
Keltner 채널 돌파
emaPeriod=23, atrPeriod=20, mult=1.9
18.0%-59.2%0.680.3021.9x11224%
EMA 크로스오버
fast=30, slow=125
19.1%-69.9%0.640.2725.9x2943%
SMA 크로스오버
fast=7, slow=24
17.0%-64.8%0.600.2618.5x19244%
ROC 모멘텀
n=88, threshold=0.09
15.8%-67.3%0.570.2315.4x13840%
ADX / DI 방향성
period=34, threshold=11
13.3%-75.8%0.520.1810.3x16244%
Buy and hold10.3%-88.4%0.450.126.2x1100%
1x 10x 100x 2008 2011 2014 2017 2020 2023 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -88% 2008 2011 2014 2017 2020 2023 2026 Buy and holdMACD
MACD maximum drawdown -58.3% (2013-01-15 → 2016-03-16), recovered after 1,605 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

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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