Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Lenovo Group Limited backtest
10 trend-following strategies were compared on the full daily history of Lenovo Group Limited. 7 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 4.4%, MDD -27.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.1%, drawdown -90.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -71.4%, Sharpe 0.49, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 4.4%, MDD -27.2%, exposure 6%).
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=22, exitN=29 |
11.7% | -71.4% | 0.49 | 0.16 | 18.8x | 105 | 60% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
6.7% | -33.8% | 0.44 | 0.20 | 5.6x | 25 | 11% |
| EMA 크로스오버 fast=24, slow=29 |
7.2% | -67.0% | 0.38 | 0.11 | 6.3x | 151 | 51% |
| ADX / DI 방향성 period=23, threshold=31 |
4.4% | -27.2% | 0.36 | 0.16 | 3.1x | 30 | 6% |
| SMA 크로스오버 fast=49, slow=197 |
5.4% | -64.8% | 0.33 | 0.08 | 4.0x | 45 | 46% |
| ROC 모멘텀 n=75, threshold=0.09 |
5.0% | -63.7% | 0.31 | 0.08 | 3.6x | 273 | 36% |
| Supertrend period=25, mult=4.4 |
4.4% | -71.7% | 0.30 | 0.06 | 3.1x | 95 | 53% |
| MACD fast=8, slow=26, signal=22 |
3.0% | -82.0% | 0.26 | 0.04 | 2.2x | 404 | 51% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=13, mult=2.9 |
2.3% | -59.1% | 0.22 | 0.04 | 1.8x | 99 | 26% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.2% | -88.6% | 0.13 | -0.01 | 0.7x | 207 | 52% |
| Buy and hold | 3.1% | -90.6% | 0.30 | 0.03 | 2.2x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 29 days