Trend-Following Backtester · Guide · backtest 한국어
equity · HK
GCL Technology Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of GCL Technology Holdings Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.1%, MDD -56.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.4%, drawdown -96.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.1%, MDD -72.7%, Sharpe 0.57, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.9%, MDD -70.5%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.5%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 13.1%, MDD -56.0%, exposure 9%).
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=42, k=2.9 |
15.1% | -72.7% | 0.57 | 0.21 | 14.0x | 40 | 17% |
| Donchian 채널 돌파 entryN=40, exitN=36 |
17.9% | -70.5% | 0.57 | 0.25 | 22.1x | 47 | 44% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=15, mult=1.8 |
15.6% | -73.5% | 0.55 | 0.21 | 15.2x | 83 | 27% |
| ADX / DI 방향성 period=35, threshold=25 |
13.1% | -56.0% | 0.55 | 0.23 | 10.1x | 18 | 9% |
| EMA 크로스오버 fast=14, slow=39 |
15.5% | -77.1% | 0.54 | 0.20 | 15.1x | 81 | 38% |
| SMA 크로스오버 fast=10, slow=53 |
14.6% | -81.9% | 0.52 | 0.18 | 12.9x | 95 | 40% |
| MACD fast=8, slow=52, signal=10 |
13.5% | -66.6% | 0.49 | 0.20 | 10.8x | 303 | 53% |
| Parabolic SAR step=0.02, maxStep=0.12 |
10.9% | -75.4% | 0.45 | 0.15 | 7.0x | 311 | 44% |
| ROC 모멘텀 n=19, threshold=0.01 |
8.3% | -78.6% | 0.40 | 0.11 | 4.5x | 407 | 40% |
| Supertrend period=27, mult=3.2 |
8.2% | -75.8% | 0.39 | 0.11 | 4.4x | 99 | 41% |
| Buy and hold | -9.4% | -96.1% | 0.17 | -0.10 | 0.2x | 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 42-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 42-day middle average