Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Alibaba Health Information Technology Ltd. backtest
10 trend-following strategies were compared on the full daily history of Alibaba Health Information Technology Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 28.9%, MDD -58.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.5%, drawdown -97.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.7%, MDD -67.8%, Sharpe 0.53, 31% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.1%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 28.9%, MDD -58.1%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=1.6 |
32.7% | -67.8% | 0.53 | 0.48 | 567.4x | 98 | 31% |
| EMA 크로스오버 fast=10, slow=60 |
30.4% | -66.2% | 0.52 | 0.46 | 389.5x | 98 | 41% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=1.5 |
31.1% | -60.2% | 0.52 | 0.52 | 437.1x | 92 | 33% |
| Donchian 채널 돌파 entryN=42, exitN=16 |
28.9% | -63.5% | 0.49 | 0.46 | 300.1x | 70 | 26% |
| ADX / DI 방향성 period=14, threshold=25 |
28.9% | -58.1% | 0.49 | 0.50 | 296.6x | 152 | 27% |
| SMA 크로스오버 fast=17, slow=24 |
24.9% | -70.6% | 0.47 | 0.35 | 148.0x | 272 | 43% |
| MACD fast=18, slow=33, signal=12 |
19.9% | -90.9% | 0.44 | 0.22 | 58.2x | 268 | 48% |
| Supertrend period=22, mult=4.4 |
20.9% | -83.5% | 0.44 | 0.25 | 71.3x | 76 | 42% |
| ROC 모멘텀 n=30, threshold=0.06 |
20.8% | -81.0% | 0.43 | 0.26 | 70.0x | 320 | 32% |
| Parabolic SAR step=0.01, maxStep=0.14 |
15.9% | -87.9% | 0.40 | 0.18 | 27.2x | 238 | 42% |
| Buy and hold | 5.5% | -97.4% | 0.38 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 43-day middle average