Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Dah Sing Banking Group Limited backtest
10 trend-following strategies were compared on the full daily history of Dah Sing Banking Group Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -21.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.9%, drawdown -82.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -67.3%, Sharpe 0.46, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 15.4%p (CAGR 3.9%, MDD -21.3%, exposure 11%).
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=14, exitN=13 |
7.8% | -67.3% | 0.46 | 0.12 | 5.3x | 155 | 52% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
3.9% | -21.3% | 0.41 | 0.18 | 2.3x | 27 | 11% |
| SMA 크로스오버 fast=7, slow=30 |
6.5% | -58.2% | 0.41 | 0.11 | 4.0x | 193 | 50% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=12, mult=1.7 |
5.7% | -46.7% | 0.40 | 0.12 | 3.4x | 125 | 36% |
| EMA 크로스오버 fast=51, slow=161 |
5.0% | -45.8% | 0.34 | 0.11 | 2.9x | 31 | 51% |
| ROC 모멘텀 n=145, threshold=-0.01 |
4.8% | -51.8% | 0.33 | 0.09 | 2.8x | 143 | 54% |
| Supertrend period=22, mult=3.3 |
4.5% | -59.8% | 0.32 | 0.08 | 2.7x | 121 | 50% |
| Parabolic SAR step=0.01, maxStep=0.16 |
4.3% | -74.8% | 0.31 | 0.06 | 2.6x | 266 | 50% |
| MACD fast=13, slow=78, signal=23 |
2.4% | -73.2% | 0.22 | 0.03 | 1.7x | 219 | 51% |
| ADX / DI 방향성 period=14, threshold=32 |
1.8% | -40.6% | 0.21 | 0.04 | 1.5x | 86 | 16% |
| Buy and hold | 0.9% | -82.7% | 0.18 | 0.01 | 1.2x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 13 days