Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Mobvista Incorporation backtest
10 trend-following strategies were compared on the full daily history of Mobvista Incorporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.7%, MDD -42.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.3%, drawdown -89.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 36.4%, MDD -54.3%, Sharpe 0.81, 33% exposure.
CAGR reference leader: Parabolic SAR — CAGR 36.5%, MDD -67.8%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.1%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 21.7%, MDD -42.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=1.1 |
36.4% | -54.3% | 0.81 | 0.67 | 10.7x | 88 | 33% |
| Parabolic SAR step=0.05, maxStep=0.36 |
36.5% | -67.8% | 0.79 | 0.54 | 10.7x | 261 | 48% |
| MACD fast=8, slow=22, signal=8 |
34.3% | -55.7% | 0.77 | 0.62 | 9.5x | 155 | 51% |
| ROC 모멘텀 n=61, threshold=0.13 |
26.5% | -51.6% | 0.68 | 0.51 | 6.0x | 76 | 23% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=28, mult=3.2 |
21.7% | -42.3% | 0.65 | 0.51 | 4.5x | 10 | 4% |
| ADX / DI 방향성 period=21, threshold=31 |
22.8% | -47.6% | 0.63 | 0.48 | 4.8x | 14 | 10% |
| SMA 크로스오버 fast=29, slow=101 |
21.6% | -60.5% | 0.61 | 0.36 | 4.4x | 18 | 34% |
| Supertrend period=21, mult=1.9 |
21.6% | -67.3% | 0.60 | 0.32 | 4.5x | 82 | 39% |
| Donchian 채널 돌파 entryN=43, exitN=30 |
21.5% | -72.1% | 0.60 | 0.30 | 4.4x | 18 | 36% |
| EMA 크로스오버 fast=9, slow=264 |
16.8% | -63.7% | 0.56 | 0.26 | 3.3x | 10 | 40% |
| Buy and hold | 14.3% | -89.2% | 0.53 | 0.16 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 21-day middle average