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Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Central New Energy Holding Group Limited backtest

10 trend-following strategies were compared on the full daily history of Central New Energy Holding Group Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.

Data 2018-03-29 ~ 2026-08-31daily bars 2,070 (8.4 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 70.0%, drawdown -39.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 66.1%, MDD -42.1%, Sharpe 1.17, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
Hold-like · Exposure 98%
entryN=1, exitN=69
66.1%-42.1%1.171.5771.8x1598%
SMA 크로스오버
fast=48, slow=275
59.2%-39.3%1.161.5150.2x1075%
EMA 크로스오버
fast=54, slow=200
59.2%-45.1%1.131.3150.2x882%
ROC 모멘텀
n=70, threshold=-0.06
53.4%-45.4%1.051.1836.7x10678%
ADX / DI 방향성
period=54, threshold=5
43.9%-43.4%0.951.0121.4x6981%
MACD
fast=24, slow=48, signal=28
29.7%-63.3%0.780.478.9x6553%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=32, mult=2.4
21.5%-57.6%0.660.375.2x4440%
Supertrend
period=10, mult=2.1
21.5%-60.8%0.650.355.2x9860%
볼린저 밴드 돌파
n=57, k=1.3
19.7%-72.5%0.620.274.5x5851%
Parabolic SAR
step=0.035, maxStep=0.3
13.7%-63.4%0.520.223.0x23353%
Buy and hold70.0%-39.2%1.211.7987.5x1100%
1x 10x 100x 2019 2020 2021 2022 2023 2024 2025 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -11% -21% -32% -42% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -42.1% (2018-10-09 → 2019-03-15), recovered after 254 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore HK assetsAll asset reports

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