Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Li Ning Company Limited backtest
10 trend-following strategies were compared on the full daily history of Li Ning Company Limited. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.5%, MDD -39.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.3%, drawdown -90.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.5%, MDD -39.8%, Sharpe 0.74, 27% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 19.5%, MDD -56.7%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 16.5%, MDD -39.8%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=8, mult=2.8 |
16.5% | -39.8% | 0.74 | 0.41 | 28.9x | 56 | 27% |
| EMA 크로스오버 fast=52, slow=180 |
19.5% | -56.7% | 0.70 | 0.34 | 50.8x | 20 | 54% |
| SMA 크로스오버 fast=16, slow=168 |
17.3% | -69.7% | 0.65 | 0.25 | 33.6x | 46 | 54% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
14.5% | -52.5% | 0.60 | 0.28 | 19.8x | 100 | 42% |
| Donchian 채널 돌파 entryN=104, exitN=67 |
14.2% | -65.7% | 0.58 | 0.22 | 18.9x | 26 | 49% |
| ROC 모멘텀 n=53, threshold=0 |
12.5% | -70.9% | 0.52 | 0.18 | 13.4x | 264 | 53% |
| Supertrend period=14, mult=5 |
12.2% | -72.4% | 0.51 | 0.17 | 12.8x | 56 | 54% |
| ADX / DI 방향성 period=25, threshold=11 |
6.9% | -77.8% | 0.37 | 0.09 | 4.3x | 262 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.9% | -78.4% | 0.28 | 0.05 | 2.3x | 180 | 51% |
| MACD fast=19, slow=55, signal=18 |
-1.4% | -90.0% | 0.13 | -0.02 | 0.7x | 227 | 52% |
| Buy and hold | 9.3% | -90.2% | 0.43 | 0.10 | 7.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 40-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 40-day average