Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Literature Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Literature Ltd.. 10 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 3.7%, MDD -20.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.0%, drawdown -82.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -20.8%, Sharpe 0.35, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.4%, MDD -41.8%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.7%p higher than buy and hold, while drawdown improves by 61.7%p (CAGR 3.7%, MDD -20.8%, exposure 2%).
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=11, k=2.9 |
3.7% | -20.8% | 0.35 | 0.18 | 1.4x | 6 | 2% |
| ROC 모멘텀 n=149, threshold=-0.04 |
5.4% | -41.8% | 0.33 | 0.13 | 1.6x | 40 | 43% |
| SMA 크로스오버 fast=50, slow=171 |
4.0% | -64.2% | 0.29 | 0.06 | 1.4x | 12 | 40% |
| Donchian 채널 돌파 entryN=99, exitN=4 |
1.2% | -32.0% | 0.16 | 0.04 | 1.1x | 14 | 6% |
| ADX / DI 방향성 period=32, threshold=16 |
0.3% | -45.7% | 0.14 | 0.01 | 1.0x | 36 | 22% |
| Supertrend period=29, mult=2.7 |
-3.8% | -59.5% | 0.07 | -0.06 | 0.7x | 64 | 41% |
| EMA 크로스오버 fast=58, slow=66 |
-2.8% | -70.4% | 0.07 | -0.04 | 0.8x | 16 | 35% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=20, mult=1.1 |
-3.9% | -54.9% | 0.03 | -0.07 | 0.7x | 72 | 28% |
| MACD fast=11, slow=53, signal=10 |
-6.4% | -77.6% | 0.01 | -0.08 | 0.6x | 119 | 48% |
| Parabolic SAR step=0.03, maxStep=0.3 |
-8.3% | -73.7% | -0.03 | -0.11 | 0.5x | 225 | 46% |
| Buy and hold | -17.0% | -82.5% | -0.09 | -0.21 | 0.2x | 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 11-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 11-day middle average