Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Health and Happiness (H&H) International Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Health and Happiness (H&H) International Holdings Limited. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.8%, MDD -44.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.0%, drawdown -90.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.8%, MDD -44.8%, Sharpe 0.78, 20% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 19.5%, MDD -48.1%, exposure 39%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 16.8%, MDD -44.8%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=27, mult=3.3 |
16.8% | -44.8% | 0.78 | 0.37 | 11.5x | 35 | 20% |
| 볼린저 밴드 돌파 n=18, k=1.1 |
19.5% | -48.1% | 0.74 | 0.41 | 16.7x | 211 | 39% |
| Supertrend period=28, mult=3.5 |
17.5% | -68.0% | 0.67 | 0.26 | 12.7x | 67 | 45% |
| SMA 크로스오버 fast=4, slow=27 |
15.1% | -70.9% | 0.59 | 0.21 | 9.2x | 185 | 49% |
| Donchian 채널 돌파 entryN=43, exitN=24 |
12.7% | -60.1% | 0.56 | 0.21 | 6.6x | 45 | 37% |
| ROC 모멘텀 n=29, threshold=0.1 |
11.2% | -57.9% | 0.54 | 0.19 | 5.4x | 187 | 28% |
| Parabolic SAR step=0.02, maxStep=0.16 |
12.6% | -59.1% | 0.52 | 0.21 | 6.5x | 293 | 48% |
| MACD fast=19, slow=27, signal=12 |
12.4% | -69.9% | 0.52 | 0.18 | 6.4x | 202 | 51% |
| EMA 크로스오버 fast=9, slow=70 |
11.6% | -80.4% | 0.50 | 0.14 | 5.6x | 75 | 50% |
| ADX / DI 방향성 period=11, threshold=15 |
9.4% | -67.5% | 0.44 | 0.14 | 4.1x | 313 | 48% |
| Buy and hold | 4.0% | -90.7% | 0.32 | 0.04 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 37-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 37-day average