Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Xinyi Glass Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Xinyi Glass Holdings Limited. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.3%, MDD -41.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.9%, drawdown -85.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.1%, MDD -60.8%, Sharpe 0.70, 47% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 18.2%, MDD -60.9%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 13.3%, MDD -41.3%, exposure 28%).
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=60, exitN=38 |
18.1% | -60.8% | 0.70 | 0.30 | 36.1x | 46 | 47% |
| EMA 크로스오버 fast=24, slow=31 |
18.2% | -60.9% | 0.68 | 0.30 | 36.8x | 90 | 54% |
| SMA 크로스오버 fast=35, slow=77 |
18.1% | -51.3% | 0.68 | 0.35 | 36.4x | 64 | 54% |
| ADX / DI 방향성 period=22, threshold=20 |
13.3% | -41.3% | 0.63 | 0.32 | 14.9x | 114 | 28% |
| Supertrend period=20, mult=4.9 |
16.3% | -61.0% | 0.63 | 0.27 | 25.9x | 56 | 54% |
| 볼린저 밴드 돌파 n=65, k=2.5 |
13.2% | -60.5% | 0.61 | 0.22 | 14.5x | 48 | 31% |
| ROC 모멘텀 n=102, threshold=-0.02 |
13.3% | -61.1% | 0.55 | 0.22 | 14.8x | 176 | 56% |
| MACD fast=29, slow=52, signal=29 |
12.0% | -56.5% | 0.51 | 0.21 | 11.6x | 151 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=22, mult=1.1 |
10.1% | -71.4% | 0.47 | 0.14 | 7.9x | 166 | 45% |
| Parabolic SAR step=0.025, maxStep=0.32 |
-0.4% | -87.6% | 0.15 | -0.01 | 0.9x | 503 | 53% |
| Buy and hold | 10.9% | -85.0% | 0.46 | 0.13 | 9.3x | 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 60 days
- Sell — Sell when price breaks below the lowest low of the last 38 days