Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Lingbao Gold Group Company Limited Class H backtest
10 trend-following strategies were compared on the full daily history of Lingbao Gold Group Company Limited Class H. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.9%, MDD -57.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.1%, drawdown -92.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -62.4%, Sharpe 0.49, 32% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.2%, MDD -72.5%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 8.9%, MDD -57.1%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=35, k=1.6 |
11.8% | -62.4% | 0.49 | 0.19 | 10.0x | 131 | 32% |
| Donchian 채널 돌파 entryN=15, exitN=22 |
12.2% | -72.5% | 0.48 | 0.17 | 10.7x | 107 | 53% |
| SMA 크로스오버 fast=62, slow=102 |
10.9% | -69.3% | 0.47 | 0.16 | 8.5x | 52 | 45% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=21, mult=3.4 |
8.9% | -57.1% | 0.44 | 0.16 | 5.8x | 51 | 14% |
| Supertrend period=12, mult=4.3 |
9.5% | -80.2% | 0.43 | 0.12 | 6.5x | 69 | 48% |
| ADX / DI 방향성 period=24, threshold=17 |
7.8% | -80.8% | 0.39 | 0.10 | 4.7x | 125 | 30% |
| MACD fast=13, slow=24, signal=17 |
7.7% | -75.9% | 0.39 | 0.10 | 4.7x | 286 | 50% |
| EMA 크로스오버 fast=28, slow=76 |
7.4% | -79.6% | 0.38 | 0.09 | 4.4x | 57 | 44% |
| ROC 모멘텀 n=85, threshold=0.13 |
5.7% | -81.6% | 0.33 | 0.07 | 3.1x | 154 | 28% |
| Parabolic SAR step=0.015, maxStep=0.2 |
3.7% | -78.7% | 0.29 | 0.05 | 2.1x | 301 | 45% |
| Buy and hold | 8.1% | -92.6% | 0.42 | 0.09 | 5.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 35-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 35-day middle average