Trend-Following Backtester · Guide · backtest 한국어
equity · HK
TCL Electronics Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of TCL Electronics Holdings Limited. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.6%, MDD -29.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.3%, drawdown -98.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.6%, MDD -29.2%, Sharpe 0.51, 6% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.5%, MDD -81.6%, exposure 41%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 69.6%p (CAGR 6.6%, MDD -29.2%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=30 |
6.6% | -29.2% | 0.51 | 0.23 | 5.5x | 16 | 6% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
7.1% | -55.3% | 0.42 | 0.13 | 6.2x | 42 | 14% |
| EMA 크로스오버 fast=11, slow=118 |
8.5% | -81.6% | 0.41 | 0.10 | 8.7x | 77 | 41% |
| ROC 모멘텀 n=129, threshold=0.14 |
8.0% | -71.5% | 0.41 | 0.11 | 7.8x | 133 | 29% |
| SMA 크로스오버 fast=34, slow=68 |
8.1% | -84.4% | 0.40 | 0.10 | 8.0x | 92 | 48% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=8, mult=3.4 |
4.6% | -52.9% | 0.35 | 0.09 | 3.3x | 38 | 9% |
| Donchian 채널 돌파 entryN=119, exitN=12 |
5.2% | -58.0% | 0.34 | 0.09 | 3.8x | 57 | 13% |
| Supertrend period=11, mult=3.6 |
4.4% | -88.2% | 0.30 | 0.05 | 3.1x | 117 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
0.7% | -82.9% | 0.21 | 0.01 | 1.2x | 407 | 50% |
| MACD fast=9, slow=37, signal=6 |
-5.4% | -94.6% | 0.05 | -0.06 | 0.2x | 605 | 51% |
| Buy and hold | -4.3% | -98.8% | 0.20 | -0.04 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)