Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Hong Kong Exchanges & Clearing Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hong Kong Exchanges & Clearing Ltd.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.3%, MDD -33.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 16.3%, drawdown -80.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.3%, MDD -33.1%, Sharpe 0.91, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 19.3%, MDD -33.1%, exposure 41%).
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=32, k=1.2 |
19.3% | -33.1% | 0.91 | 0.58 | 100.7x | 201 | 41% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=25, mult=3.2 |
14.1% | -35.1% | 0.84 | 0.40 | 31.7x | 88 | 20% |
| Supertrend period=8, mult=3.2 |
19.1% | -52.1% | 0.83 | 0.37 | 97.7x | 169 | 53% |
| Donchian 채널 돌파 entryN=59, exitN=58 |
17.3% | -55.7% | 0.79 | 0.31 | 65.0x | 47 | 56% |
| MACD fast=24, slow=57, signal=19 |
17.4% | -56.8% | 0.79 | 0.31 | 66.6x | 213 | 49% |
| EMA 크로스오버 fast=19, slow=102 |
16.5% | -43.0% | 0.76 | 0.38 | 54.9x | 65 | 55% |
| SMA 크로스오버 fast=3, slow=178 |
15.9% | -49.1% | 0.73 | 0.32 | 47.8x | 97 | 54% |
| ADX / DI 방향성 period=17, threshold=13 |
15.1% | -55.2% | 0.71 | 0.27 | 39.8x | 367 | 48% |
| ROC 모멘텀 n=131, threshold=0.07 |
12.4% | -52.1% | 0.62 | 0.24 | 21.1x | 148 | 45% |
| Parabolic SAR step=0.015, maxStep=0.22 |
10.7% | -67.9% | 0.54 | 0.16 | 14.4x | 433 | 52% |
| Buy and hold | 16.3% | -80.3% | 0.61 | 0.20 | 52.0x | 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 32-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 32-day middle average