Trend-Following Backtester · Guide · backtest 한국어
equity · HK
CK Infrastructure Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of CK Infrastructure Holdings Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -56.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -52.6%, Sharpe 0.37, 91% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=4, exitN=71 |
6.1% | -52.6% | 0.37 | 0.12 | 4.8x | 89 | 91% |
| EMA 크로스오버 fast=54, slow=147 |
4.2% | -33.3% | 0.32 | 0.13 | 3.0x | 33 | 64% |
| SMA 크로스오버 fast=58, slow=188 |
3.5% | -41.9% | 0.28 | 0.08 | 2.5x | 34 | 63% |
| ROC 모멘텀 n=90, threshold=-0.09 |
3.0% | -43.1% | 0.25 | 0.07 | 2.2x | 127 | 87% |
| ADX / DI 방향성 period=24, threshold=29 |
0.7% | -12.1% | 0.16 | 0.06 | 1.2x | 24 | 6% |
| Supertrend period=10, mult=4.4 |
-1.0% | -59.5% | 0.04 | -0.02 | 0.8x | 87 | 61% |
| MACD fast=20, slow=64, signal=43 |
-2.0% | -71.5% | -0.05 | -0.03 | 0.6x | 205 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.6% | -68.0% | -0.13 | -0.05 | 0.4x | 205 | 54% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
-1.4% | -34.8% | -0.18 | -0.04 | 0.7x | 26 | 9% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=34, mult=3.4 |
-3.0% | -59.5% | -0.22 | -0.05 | 0.4x | 73 | 22% |
| Buy and hold | 5.6% | -56.0% | 0.35 | 0.10 | 4.3x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 71 days