Trend-Following Backtester · Guide · backtest 한국어
equity · HK
C&D International Investment Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of C&D International Investment Group Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 29.0%, MDD -51.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 28.8%, drawdown -65.3%).
Sharpe leader (same as main): Supertrend — CAGR 29.0%, MDD -51.2%, Sharpe 0.84, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 14.1%p (CAGR 29.0%, MDD -51.2%, exposure 54%).
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=2.4 |
29.0% | -51.2% | 0.84 | 0.57 | 32.2x | 99 | 54% |
| SMA 크로스오버 fast=45, slow=288 |
23.9% | -64.6% | 0.70 | 0.37 | 18.5x | 12 | 64% |
| EMA 크로스오버 fast=53, slow=197 |
23.9% | -64.6% | 0.69 | 0.37 | 18.5x | 12 | 64% |
| Donchian 채널 돌파 entryN=47, exitN=6 |
14.3% | -45.5% | 0.56 | 0.31 | 6.2x | 68 | 22% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=1.1 |
13.2% | -64.8% | 0.56 | 0.20 | 5.4x | 138 | 17% |
| MACD fast=16, slow=59, signal=17 |
15.4% | -59.6% | 0.56 | 0.26 | 7.1x | 141 | 48% |
| ROC 모멘텀 n=120, threshold=0.06 |
14.2% | -64.6% | 0.52 | 0.22 | 6.1x | 128 | 52% |
| 볼린저 밴드 돌파 n=34, k=2.1 |
13.3% | -57.6% | 0.52 | 0.23 | 5.5x | 68 | 28% |
| Parabolic SAR step=0.015, maxStep=0.2 |
13.8% | -61.6% | 0.52 | 0.22 | 5.8x | 211 | 51% |
| ADX / DI 방향성 period=13, threshold=11 |
13.5% | -64.4% | 0.51 | 0.21 | 5.6x | 279 | 52% |
| Buy and hold | 28.8% | -65.3% | 0.74 | 0.44 | 31.3x | 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) — 13-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)