Trend-Following Backtester · Guide · backtest 한국어
equity · HK
FIT Hon Teng Limited backtest
10 trend-following strategies were compared on the full daily history of FIT Hon Teng Limited. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.8%, MDD -49.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.9%, drawdown -87.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 24.3%, MDD -68.5%, Sharpe 0.67, 45% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 11.8%, MDD -49.5%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.28 |
24.3% | -68.5% | 0.67 | 0.36 | 7.3x | 67 | 45% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
22.4% | -54.7% | 0.65 | 0.41 | 6.3x | 62 | 35% |
| SMA 크로스오버 fast=23, slow=35 |
18.5% | -69.1% | 0.58 | 0.27 | 4.7x | 64 | 45% |
| Supertrend period=20, mult=3 |
18.5% | -55.8% | 0.58 | 0.33 | 4.7x | 45 | 42% |
| ROC 모멘텀 n=33, threshold=-0.01 |
18.7% | -72.5% | 0.58 | 0.26 | 4.8x | 138 | 47% |
| Donchian 채널 돌파 entryN=60, exitN=17 |
16.7% | -63.2% | 0.57 | 0.26 | 4.1x | 24 | 27% |
| MACD fast=21, slow=37, signal=31 |
15.1% | -70.7% | 0.52 | 0.21 | 3.6x | 69 | 50% |
| ADX / DI 방향성 period=19, threshold=25 |
13.3% | -49.8% | 0.51 | 0.27 | 3.1x | 34 | 21% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=1.5 |
13.8% | -53.6% | 0.51 | 0.26 | 3.2x | 38 | 30% |
| EMA 크로스오버 fast=10, slow=170 |
11.8% | -49.5% | 0.47 | 0.24 | 2.8x | 18 | 35% |
| Buy and hold | 4.9% | -87.7% | 0.41 | 0.06 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots