Trend-Following Backtester · Guide · backtest 한국어
equity · HK
TravelSky Technology Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of TravelSky Technology Ltd. Class H. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.0%, MDD -48.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.1%, drawdown -80.7%).
Sharpe leader (same as main): Supertrend — CAGR 10.0%, MDD -48.1%, Sharpe 0.48, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 10.0%, MDD -48.1%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.1 |
10.0% | -48.1% | 0.48 | 0.21 | 11.6x | 77 | 53% |
| MACD fast=27, slow=37, signal=23 |
9.7% | -56.2% | 0.47 | 0.17 | 10.7x | 197 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
9.0% | -55.2% | 0.44 | 0.16 | 9.0x | 187 | 51% |
| SMA 크로스오버 fast=28, slow=45 |
8.7% | -72.0% | 0.43 | 0.12 | 8.4x | 145 | 54% |
| Donchian 채널 돌파 entryN=29, exitN=37 |
8.0% | -63.9% | 0.41 | 0.13 | 7.3x | 81 | 60% |
| EMA 크로스오버 fast=50, slow=288 |
5.8% | -56.3% | 0.34 | 0.10 | 4.3x | 26 | 55% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
5.2% | -59.3% | 0.33 | 0.09 | 3.7x | 135 | 41% |
| ROC 모멘텀 n=37, threshold=0 |
2.1% | -80.4% | 0.22 | 0.03 | 1.7x | 427 | 55% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=26, mult=2.1 |
2.1% | -71.1% | 0.21 | 0.03 | 1.7x | 108 | 36% |
| ADX / DI 방향성 period=23, threshold=24 |
0.9% | -52.2% | 0.14 | 0.02 | 1.3x | 68 | 13% |
| Buy and hold | 7.1% | -80.7% | 0.38 | 0.09 | 5.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)