Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Swire Properties Limited backtest
10 trend-following strategies were compared on the full daily history of Swire Properties Limited. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -10.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.2%, drawdown -91.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -39.5%, Sharpe 0.41, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR -0.0%, MDD -10.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=58, exitN=62 |
6.4% | -39.5% | 0.41 | 0.16 | 5.2x | 40 | 56% |
| EMA 크로스오버 fast=31, slow=57 |
5.9% | -41.5% | 0.39 | 0.14 | 4.6x | 74 | 53% |
| SMA 크로스오버 fast=14, slow=90 |
5.6% | -33.7% | 0.37 | 0.17 | 4.2x | 96 | 52% |
| Supertrend period=20, mult=4.4 |
4.4% | -42.6% | 0.31 | 0.10 | 3.2x | 75 | 60% |
| ROC 모멘텀 n=87, threshold=-0.04 |
1.4% | -65.0% | 0.17 | 0.02 | 1.4x | 249 | 63% |
| 볼린저 밴드 돌파 n=47, k=1.6 |
0.4% | -55.1% | 0.11 | 0.01 | 1.1x | 147 | 35% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=1.5 |
-0.5% | -58.4% | 0.06 | -0.01 | 0.9x | 163 | 40% |
| ADX / DI 방향성 period=23, threshold=37 |
-0.0% | -10.6% | 0.00 | -0.00 | 1.0x | 8 | 1% |
| MACD fast=19, slow=49, signal=11 |
-4.4% | -87.7% | -0.12 | -0.05 | 0.3x | 349 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-4.6% | -82.9% | -0.12 | -0.05 | 0.3x | 455 | 49% |
| Buy and hold | -2.2% | -91.1% | 0.15 | -0.02 | 0.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 58 days
- Sell — Sell when price breaks below the lowest low of the last 62 days