Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Tingyi (Cayman Islands) Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of Tingyi (Cayman Islands) Holding Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -74.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -62.5%, Sharpe 0.49, 58% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.3%, MDD -68.7%, exposure 55%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=60, exitN=75 |
10.3% | -62.5% | 0.49 | 0.16 | 13.6x | 41 | 58% |
| SMA 크로스오버 fast=55, slow=123 |
10.3% | -68.7% | 0.48 | 0.15 | 13.7x | 58 | 55% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
7.6% | -44.5% | 0.46 | 0.17 | 7.0x | 72 | 25% |
| EMA 크로스오버 fast=24, slow=125 |
9.2% | -74.6% | 0.45 | 0.12 | 10.5x | 73 | 57% |
| Supertrend period=16, mult=3.9 |
8.4% | -55.0% | 0.43 | 0.15 | 8.5x | 97 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=4 |
5.2% | -45.4% | 0.36 | 0.11 | 3.9x | 47 | 20% |
| ADX / DI 방향성 period=38, threshold=15 |
5.0% | -57.8% | 0.34 | 0.09 | 3.6x | 92 | 23% |
| ROC 모멘텀 n=87, threshold=-0.03 |
5.3% | -84.9% | 0.32 | 0.06 | 3.9x | 315 | 61% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.2% | -86.1% | 0.21 | 0.03 | 1.8x | 201 | 52% |
| MACD fast=18, slow=32, signal=17 |
-0.6% | -90.3% | 0.11 | -0.01 | 0.8x | 337 | 50% |
| Buy and hold | 12.7% | -74.9% | 0.51 | 0.17 | 24.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 60 days
- Sell — Sell when price breaks below the lowest low of the last 75 days