Trend-Following Backtester · Guide · backtest 한국어
equity · HK
CTF Services Limited backtest
10 trend-following strategies were compared on the full daily history of CTF Services Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.8%, MDD -58.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -75.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -58.1%, Sharpe 0.46, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 17.6%p (CAGR 9.8%, MDD -58.1%, exposure 81%).
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=15, exitN=86 |
9.8% | -58.1% | 0.46 | 0.17 | 9.1x | 55 | 81% |
| Supertrend period=15, mult=4.7 |
6.7% | -56.1% | 0.38 | 0.12 | 4.5x | 68 | 54% |
| SMA 크로스오버 fast=53, slow=76 |
5.1% | -52.5% | 0.33 | 0.10 | 3.2x | 102 | 54% |
| EMA 크로스오버 fast=46, slow=100 |
4.2% | -60.7% | 0.29 | 0.07 | 2.6x | 52 | 59% |
| 볼린저 밴드 돌파 n=64, k=2.2 |
3.1% | -53.8% | 0.25 | 0.06 | 2.1x | 72 | 29% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=19, mult=3.4 |
2.3% | -48.2% | 0.23 | 0.05 | 1.7x | 46 | 11% |
| ROC 모멘텀 n=83, threshold=-0.04 |
2.2% | -77.8% | 0.22 | 0.03 | 1.7x | 249 | 67% |
| ADX / DI 방향성 period=20, threshold=16 |
-0.0% | -82.9% | 0.12 | -0.00 | 1.0x | 248 | 38% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.9% | -90.7% | 0.06 | -0.02 | 0.6x | 355 | 52% |
| MACD fast=17, slow=36, signal=19 |
-2.9% | -93.0% | 0.02 | -0.03 | 0.5x | 283 | 50% |
| Buy and hold | 8.5% | -75.8% | 0.41 | 0.11 | 6.8x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 86 days