Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Minth Group Limited backtest

10 trend-following strategies were compared on the full daily history of Minth Group Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.1%, MDD -42.4%).

Data 2005-12-01 ~ 2026-07-31daily bars 5,092 (20.7 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 11.0%, drawdown -83.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.8%, MDD -69.8%, Sharpe 0.58, 73% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 10.1%, MDD -42.4%, exposure 35%).

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
Donchian 채널 돌파
entryN=13, exitN=42
15.8%-69.8%0.580.2320.8x6873%
Keltner 채널 돌파
emaPeriod=51, atrPeriod=21, mult=2.3
10.1%-42.4%0.490.247.3x7835%
Supertrend
period=29, mult=5
11.0%-62.3%0.490.188.6x5252%
SMA 크로스오버
fast=45, slow=123
9.3%-84.8%0.440.116.2x4455%
볼린저 밴드 돌파
n=43, k=1.3
8.7%-52.7%0.430.175.7x14042%
EMA 크로스오버
fast=58, slow=194
9.1%-76.6%0.430.126.0x2455%
Parabolic SAR
step=0.035, maxStep=0.04
7.9%-61.7%0.400.134.8x25054%
ROC 모멘텀
n=111, threshold=0.06
7.7%-73.2%0.400.114.6x19246%
MACD
fast=15, slow=56, signal=19
6.9%-64.9%0.370.114.0x21351%
ADX / DI 방향성
period=27, threshold=41
0.9%-7.6%0.280.121.2x21%
Buy and hold11.0%-83.8%0.460.138.6x1100%
1x 10x 2006 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 2006 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -69.8% (2018-01-04 → 2020-05-07), recovered after 2,756 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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