Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Yihai International Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yihai International Holding Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 32.6%, MDD -42.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 15.4%, drawdown -93.3%).
Sharpe leader (same as main): Supertrend — CAGR 32.6%, MDD -42.9%, Sharpe 0.97, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR 32.6%, MDD -42.9%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=5 |
32.6% | -42.9% | 0.97 | 0.76 | 17.9x | 20 | 47% |
| ROC 모멘텀 n=156, threshold=-0.04 |
30.5% | -64.0% | 0.88 | 0.48 | 15.1x | 58 | 60% |
| EMA 크로스오버 fast=5, slow=191 |
28.5% | -67.0% | 0.87 | 0.43 | 13.0x | 26 | 52% |
| Donchian 채널 돌파 entryN=48, exitN=37 |
28.3% | -50.1% | 0.87 | 0.56 | 12.7x | 22 | 47% |
| ADX / DI 방향성 period=40, threshold=15 |
22.5% | -50.4% | 0.82 | 0.45 | 7.9x | 42 | 34% |
| SMA 크로스오버 fast=38, slow=187 |
26.4% | -70.5% | 0.82 | 0.37 | 10.9x | 12 | 55% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=17, mult=1.2 |
15.9% | -47.3% | 0.63 | 0.34 | 4.5x | 102 | 37% |
| 볼린저 밴드 돌파 n=40, k=1.2 |
16.2% | -48.0% | 0.62 | 0.34 | 4.6x | 78 | 43% |
| MACD fast=23, slow=72, signal=29 |
10.7% | -60.7% | 0.46 | 0.18 | 2.8x | 64 | 51% |
| Parabolic SAR step=0.03, maxStep=0.12 |
7.9% | -83.6% | 0.39 | 0.10 | 2.2x | 248 | 48% |
| Buy and hold | 15.4% | -93.3% | 0.54 | 0.16 | 4.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)