Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Tobacco International (HK) Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Tobacco International (HK) Co., Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 17.5%, MDD -43.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 22.4%, drawdown -71.9%).
Sharpe leader (same as main): Supertrend — CAGR 28.9%, MDD -60.5%, Sharpe 0.80, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 11.4%p (CAGR 17.5%, MDD -43.2%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=3, mult=2.9 |
28.9% | -60.5% | 0.80 | 0.48 | 6.4x | 37 | 52% |
| MACD fast=24, slow=44, signal=24 |
17.5% | -43.2% | 0.66 | 0.41 | 3.3x | 53 | 46% |
| Donchian 채널 돌파 entryN=10, exitN=19 |
15.4% | -71.9% | 0.54 | 0.21 | 2.8x | 49 | 59% |
| ADX / DI 방향성 period=10, threshold=21 |
12.4% | -65.7% | 0.52 | 0.19 | 2.3x | 104 | 43% |
| SMA 크로스오버 fast=15, slow=206 |
10.8% | -43.3% | 0.49 | 0.25 | 2.1x | 16 | 43% |
| 볼린저 밴드 돌파 n=25, k=0.6 |
10.6% | -74.1% | 0.47 | 0.14 | 2.1x | 96 | 39% |
| ROC 모멘텀 n=133, threshold=0.13 |
8.4% | -35.5% | 0.43 | 0.24 | 1.8x | 40 | 29% |
| EMA 크로스오버 fast=33, slow=159 |
7.9% | -48.5% | 0.40 | 0.16 | 1.7x | 16 | 45% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=24, mult=0.9 |
7.0% | -62.8% | 0.38 | 0.11 | 1.6x | 86 | 31% |
| Parabolic SAR step=0.025, maxStep=0.14 |
6.0% | -71.6% | 0.34 | 0.08 | 1.5x | 151 | 43% |
| Buy and hold | 22.4% | -71.9% | 0.63 | 0.31 | 4.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 3-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)