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 4.7%, MDD -23.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.5%, drawdown -82.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.7%, MDD -23.5%, Sharpe 0.40, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -51.5%, exposure 37%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 59.1%p (CAGR 4.7%, MDD -23.5%, exposure 5%).
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=16, k=3.2 |
4.7% | -23.5% | 0.40 | 0.20 | 1.5x | 10 | 5% |
| SMA 크로스오버 fast=62, slow=148 |
7.5% | -51.5% | 0.39 | 0.15 | 1.9x | 10 | 37% |
| ROC 모멘텀 n=120, threshold=-0.02 |
3.6% | -44.9% | 0.27 | 0.08 | 1.4x | 80 | 39% |
| Donchian 채널 돌파 entryN=71, exitN=4 |
1.8% | -36.7% | 0.19 | 0.05 | 1.2x | 20 | 7% |
| ADX / DI 방향성 period=32, threshold=16 |
0.3% | -45.7% | 0.14 | 0.01 | 1.0x | 36 | 22% |
| EMA 크로스오버 fast=13, slow=145 |
-1.4% | -63.4% | 0.11 | -0.02 | 0.9x | 22 | 33% |
| Supertrend period=22, mult=2.6 |
-3.9% | -59.7% | 0.07 | -0.07 | 0.7x | 70 | 43% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=19, mult=3.8 |
-1.1% | -32.9% | 0.02 | -0.03 | 0.9x | 12 | 6% |
| Parabolic SAR step=0.035, maxStep=0.12 |
-7.6% | -65.0% | -0.01 | -0.12 | 0.5x | 214 | 45% |
| MACD fast=10, slow=54, signal=10 |
-8.0% | -80.8% | -0.03 | -0.10 | 0.5x | 131 | 49% |
| Buy and hold | -16.5% | -82.5% | -0.07 | -0.20 | 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 16-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 16-day middle average