Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Haitian International Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Haitian International Holdings Limited. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.0%, MDD -34.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.8%, drawdown -89.8%).
Sharpe leader (same as main): Supertrend — CAGR 17.7%, MDD -51.0%, Sharpe 0.70, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 9.0%, MDD -34.1%, exposure 25%).
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=13, mult=3.9 |
17.7% | -51.0% | 0.70 | 0.35 | 24.5x | 54 | 54% |
| SMA 크로스오버 fast=23, slow=80 |
14.6% | -61.6% | 0.61 | 0.24 | 14.4x | 60 | 54% |
| Donchian 채널 돌파 entryN=30, exitN=68 |
14.2% | -69.7% | 0.57 | 0.20 | 13.6x | 38 | 68% |
| EMA 크로스오버 fast=33, slow=46 |
12.8% | -59.4% | 0.56 | 0.22 | 10.6x | 58 | 56% |
| ADX / DI 방향성 period=17, threshold=24 |
9.0% | -34.1% | 0.51 | 0.26 | 5.4x | 104 | 25% |
| ROC 모멘텀 n=61, threshold=0 |
9.4% | -69.6% | 0.46 | 0.13 | 5.8x | 234 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=2 |
8.0% | -55.0% | 0.44 | 0.15 | 4.5x | 80 | 39% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
7.7% | -51.9% | 0.42 | 0.15 | 4.3x | 116 | 44% |
| MACD fast=21, slow=56, signal=24 |
6.4% | -68.2% | 0.36 | 0.09 | 3.4x | 167 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
6.0% | -68.3% | 0.35 | 0.09 | 3.1x | 157 | 53% |
| Buy and hold | 8.8% | -89.8% | 0.41 | 0.10 | 5.2x | 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) — 13-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)