Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Yadea Group Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yadea Group Holdings Ltd.. 3 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 20.3%, MDD -28.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 20.9%, drawdown -64.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.3%, MDD -28.3%, Sharpe 0.93, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.5%, MDD -47.9%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 36.4%p (CAGR 20.3%, MDD -28.3%, exposure 18%).
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=29, atrPeriod=28, mult=3 |
20.3% | -28.3% | 0.93 | 0.72 | 6.7x | 20 | 18% |
| ADX / DI 방향성 period=15, threshold=37 |
16.5% | -26.5% | 0.88 | 0.62 | 4.8x | 24 | 9% |
| 볼린저 밴드 돌파 n=38, k=1.6 |
22.2% | -40.6% | 0.84 | 0.55 | 7.9x | 58 | 36% |
| SMA 크로스오버 fast=20, slow=50 |
22.5% | -47.9% | 0.78 | 0.47 | 8.1x | 57 | 53% |
| Supertrend period=11, mult=3 |
21.8% | -60.1% | 0.77 | 0.36 | 7.6x | 46 | 51% |
| ROC 모멘텀 n=72, threshold=0.13 |
16.8% | -56.2% | 0.67 | 0.30 | 4.9x | 82 | 32% |
| EMA 크로스오버 fast=27, slow=40 |
18.1% | -61.1% | 0.67 | 0.30 | 5.6x | 48 | 53% |
| Donchian 채널 돌파 entryN=25, exitN=37 |
18.6% | -62.0% | 0.66 | 0.30 | 5.8x | 31 | 62% |
| Parabolic SAR step=0.045, maxStep=0.12 |
2.4% | -68.9% | 0.24 | 0.04 | 1.3x | 282 | 48% |
| MACD fast=15, slow=26, signal=6 |
-1.3% | -75.4% | 0.11 | -0.02 | 0.9x | 208 | 49% |
| Buy and hold | 20.9% | -64.6% | 0.64 | 0.32 | 7.1x | 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 29-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average