Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Kingsoft Corporation Ltd backtest
10 trend-following strategies were compared on the full daily history of Kingsoft Corporation Ltd. 9 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 17.1%, MDD -51.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.8%, drawdown -76.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.3%, MDD -61.6%, Sharpe 0.75, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 20.4%, MDD -62.7%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 17.1%, MDD -51.5%, exposure 33%).
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=48, k=2.1 |
20.3% | -61.6% | 0.75 | 0.33 | 33.0x | 66 | 31% |
| SMA 크로스오버 fast=48, slow=84 |
20.4% | -62.7% | 0.69 | 0.33 | 33.2x | 61 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=2.2 |
17.1% | -51.5% | 0.66 | 0.33 | 19.7x | 78 | 33% |
| Donchian 채널 돌파 entryN=41, exitN=53 |
19.6% | -66.1% | 0.65 | 0.30 | 29.5x | 39 | 59% |
| EMA 크로스오버 fast=8, slow=32 |
16.6% | -74.2% | 0.61 | 0.22 | 18.1x | 148 | 50% |
| ADX / DI 방향성 period=21, threshold=14 |
13.9% | -75.6% | 0.55 | 0.18 | 11.8x | 227 | 43% |
| ROC 모멘텀 n=62, threshold=0.11 |
12.2% | -60.0% | 0.51 | 0.20 | 8.8x | 204 | 37% |
| Supertrend period=11, mult=3.5 |
11.6% | -65.2% | 0.48 | 0.18 | 7.9x | 96 | 53% |
| MACD fast=17, slow=47, signal=7 |
10.2% | -67.8% | 0.45 | 0.15 | 6.2x | 290 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
6.2% | -76.5% | 0.35 | 0.08 | 3.1x | 230 | 49% |
| Buy and hold | 8.8% | -76.5% | 0.43 | 0.12 | 4.9x | 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 48-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 48-day middle average