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. 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 4.4%, MDD -27.2%).

Data 2000-03-22 ~ 2026-07-31daily bars 6,567 (26.4 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 2.2%, drawdown -90.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -71.4%, Sharpe 0.47, 60% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=22, exitN=29
10.8%-71.4%0.470.1515.0x10560%
볼린저 밴드 돌파
n=55, k=3.5
5.8%-33.8%0.400.174.4x2511%
ADX / DI 방향성
period=23, threshold=31
4.4%-27.2%0.360.163.1x306%
EMA 크로스오버
fast=24, slow=29
6.3%-67.0%0.350.095.0x15151%
SMA 크로스오버
fast=49, slow=197
4.5%-64.8%0.300.073.2x4546%
Supertrend
period=25, mult=4.4
4.2%-71.7%0.290.063.0x9453%
ROC 모멘텀
n=75, threshold=0.09
4.1%-63.7%0.280.062.9x27336%
MACD
fast=8, slow=26, signal=22
2.5%-82.0%0.240.031.9x40251%
Keltner 채널 돌파
emaPeriod=48, atrPeriod=13, mult=2.9
1.4%-59.1%0.180.021.4x9926%
Parabolic SAR
step=0.005, maxStep=0.38
-2.0%-88.6%0.10-0.020.6x20752%
Buy and hold2.2%-90.6%0.280.021.8x1100%
0.1 1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -45% -68% -91% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -71.4% (2001-01-31 → 2003-05-28), recovered after 2,331 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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