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.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.3%, drawdown -65.3%).
Sharpe leader (same as main): Supertrend — CAGR 27.1%, MDD -53.0%, Sharpe 0.79, 54% exposure.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=2.6 |
27.1% | -53.0% | 0.79 | 0.51 | 27.2x | 93 | 54% |
| SMA 크로스오버 fast=43, slow=288 |
23.7% | -64.6% | 0.70 | 0.37 | 18.9x | 12 | 64% |
| EMA 크로스오버 fast=51, slow=207 |
23.4% | -64.6% | 0.69 | 0.36 | 18.3x | 12 | 64% |
| Donchian 채널 돌파 entryN=30, exitN=3 |
16.0% | -57.4% | 0.62 | 0.28 | 7.7x | 102 | 20% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=12, mult=1.3 |
14.3% | -62.7% | 0.59 | 0.23 | 6.3x | 113 | 18% |
| MACD fast=16, slow=53, signal=19 |
15.3% | -50.3% | 0.56 | 0.30 | 7.2x | 134 | 48% |
| 볼린저 밴드 돌파 n=34, k=2.1 |
13.1% | -57.6% | 0.52 | 0.23 | 5.5x | 68 | 27% |
| ROC 모멘텀 n=123, threshold=0.04 |
13.4% | -64.6% | 0.50 | 0.21 | 5.6x | 113 | 55% |
| ADX / DI 방향성 period=13, threshold=15 |
11.9% | -61.0% | 0.48 | 0.19 | 4.7x | 243 | 47% |
| Parabolic SAR step=0.015, maxStep=0.14 |
11.7% | -61.0% | 0.47 | 0.19 | 4.6x | 211 | 51% |
| Buy and hold | 27.3% | -65.3% | 0.72 | 0.42 | 27.8x | 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) — 17-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)