Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Legend Holdings Corporation Class H backtest
10 trend-following strategies were compared on the full daily history of Legend Holdings Corporation Class H. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.0%, MDD -18.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.5%, drawdown -88.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -18.8%, Sharpe 0.55, 4% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 69.5%p (CAGR 8.0%, MDD -18.8%, exposure 4%).
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=83, exitN=1 |
8.0% | -18.8% | 0.55 | 0.43 | 2.4x | 36 | 4% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=2.5 |
7.2% | -26.0% | 0.45 | 0.28 | 2.2x | 26 | 5% |
| SMA 크로스오버 fast=28, slow=217 |
7.8% | -44.2% | 0.41 | 0.18 | 2.3x | 11 | 34% |
| Supertrend period=26, mult=4.7 |
4.3% | -45.5% | 0.29 | 0.09 | 1.6x | 31 | 26% |
| EMA 크로스오버 fast=6, slow=182 |
4.1% | -57.3% | 0.29 | 0.07 | 1.6x | 29 | 31% |
| ROC 모멘텀 n=111, threshold=0.03 |
3.9% | -55.0% | 0.28 | 0.07 | 1.5x | 75 | 34% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
1.9% | -40.5% | 0.20 | 0.05 | 1.2x | 23 | 15% |
| MACD fast=18, slow=33, signal=7 |
0.9% | -75.7% | 0.18 | 0.01 | 1.1x | 173 | 50% |
| ADX / DI 방향성 period=8, threshold=37 |
-2.0% | -53.8% | 0.01 | -0.04 | 0.8x | 87 | 14% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-9.8% | -86.8% | -0.20 | -0.11 | 0.3x | 234 | 43% |
| Buy and hold | -7.5% | -88.3% | 0.02 | -0.08 | 0.4x | 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 83 days
- Sell — Sell when price breaks below the lowest low of the last 1 days