Trend-Following Backtester · Guide · backtest 한국어
equity · HK
HKT Trust and HKT Ltd backtest
10 trend-following strategies were compared on the full daily history of HKT Trust and HKT Ltd. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -72.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -7.4%, Sharpe 0.54, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 15.7%, MDD -44.6%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=57, threshold=30 |
2.2% | -7.4% | 0.54 | 0.30 | 1.7x | 2 | 4% |
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.12 |
15.7% | -44.6% | 0.24 | 0.35 | 31.1x | 29 | 99% |
| Donchian 채널 돌파 entryN=15, exitN=46 |
11.2% | -70.9% | 0.22 | 0.16 | 12.2x | 105 | 74% |
| Supertrend period=22, mult=3.7 |
9.8% | -67.6% | 0.21 | 0.14 | 9.0x | 97 | 54% |
| SMA 크로스오버 fast=15, slow=42 |
9.5% | -60.4% | 0.21 | 0.16 | 8.5x | 147 | 55% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.3% | -61.9% | 0.20 | 0.12 | 5.2x | 177 | 52% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
1.1% | -30.1% | 0.17 | 0.04 | 1.3x | 28 | 13% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=2.8 |
1.2% | -43.1% | 0.15 | 0.03 | 1.3x | 69 | 30% |
| EMA 크로스오버 fast=69, slow=198 |
0.0% | -64.8% | 0.09 | 0.00 | 1.0x | 29 | 51% |
| MACD fast=14, slow=56, signal=17 |
-2.0% | -71.6% | -0.02 | -0.03 | 0.6x | 251 | 51% |
| Buy and hold | 12.4% | -72.6% | 0.23 | 0.17 | 15.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 57-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)