Trend-Following Backtester · Guide · backtest 한국어
equity · HK
United Laboratories International Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of United Laboratories International Holdings Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.4%, MDD -25.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.3%, drawdown -83.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -39.2%, Sharpe 0.69, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 5.4%, MDD -25.6%, exposure 7%).
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=149, exitN=66 |
17.6% | -39.2% | 0.69 | 0.45 | 22.2x | 14 | 40% |
| ROC 모멘텀 n=147, threshold=0.08 |
16.3% | -45.7% | 0.64 | 0.36 | 17.9x | 84 | 45% |
| SMA 크로스오버 fast=12, slow=167 |
17.2% | -47.5% | 0.64 | 0.36 | 21.0x | 34 | 51% |
| EMA 크로스오버 fast=24, slow=218 |
15.5% | -50.5% | 0.60 | 0.31 | 15.6x | 18 | 50% |
| Supertrend period=7, mult=4.5 |
16.4% | -58.6% | 0.60 | 0.28 | 18.3x | 45 | 60% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=19, mult=2.9 |
5.4% | -25.6% | 0.41 | 0.21 | 2.7x | 40 | 7% |
| ADX / DI 방향성 period=30, threshold=10 |
6.6% | -66.2% | 0.36 | 0.10 | 3.4x | 197 | 51% |
| 볼린저 밴드 돌파 n=27, k=1.5 |
4.9% | -64.6% | 0.31 | 0.08 | 2.5x | 169 | 35% |
| Parabolic SAR step=0.01, maxStep=0.22 |
4.7% | -71.2% | 0.31 | 0.07 | 2.4x | 242 | 48% |
| MACD fast=23, slow=43, signal=17 |
4.3% | -69.5% | 0.30 | 0.06 | 2.3x | 187 | 50% |
| Buy and hold | 5.3% | -83.4% | 0.35 | 0.06 | 2.7x | 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 149 days
- Sell — Sell when price breaks below the lowest low of the last 66 days