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 12.5%, drawdown -74.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.5%, MDD -62.5%, Sharpe 0.49, 58% exposure.
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 |
10.5% | -62.5% | 0.49 | 0.17 | 14.3x | 40 | 58% |
| SMA 크로스오버 fast=55, slow=123 |
10.4% | -68.7% | 0.49 | 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 |
9.5% | -73.3% | 0.45 | 0.13 | 11.0x | 72 | 57% |
| Supertrend period=16, mult=3.9 |
8.1% | -55.0% | 0.42 | 0.15 | 7.9x | 97 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=4 |
5.5% | -42.7% | 0.38 | 0.13 | 4.1x | 46 | 20% |
| ADX / DI 방향성 period=38, threshold=15 |
5.0% | -57.8% | 0.34 | 0.09 | 3.6x | 92 | 24% |
| ROC 모멘텀 n=87, threshold=-0.03 |
5.5% | -84.2% | 0.33 | 0.06 | 4.1x | 313 | 61% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.9% | -86.1% | 0.20 | 0.02 | 1.6x | 201 | 52% |
| MACD fast=18, slow=32, signal=17 |
-0.9% | -90.3% | 0.10 | -0.01 | 0.8x | 337 | 50% |
| Buy and hold | 12.5% | -74.9% | 0.50 | 0.17 | 22.8x | 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