Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Haidilao International Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of Haidilao International Holding Ltd.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.0%, MDD -23.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.1%, drawdown -87.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.0%, MDD -23.6%, Sharpe 0.45, 6% exposure.
CAGR reference leader: Supertrend — CAGR 8.8%, MDD -57.7%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 64.3%p (CAGR 5.0%, MDD -23.6%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=19, mult=3.6 |
5.0% | -23.6% | 0.45 | 0.21 | 1.5x | 8 | 6% |
| Supertrend period=28, mult=4.9 |
8.8% | -57.7% | 0.42 | 0.15 | 1.9x | 18 | 50% |
| ROC 모멘텀 n=58, threshold=-0.04 |
6.3% | -57.5% | 0.35 | 0.11 | 1.6x | 80 | 53% |
| SMA 크로스오버 fast=16, slow=65 |
5.9% | -58.3% | 0.34 | 0.10 | 1.6x | 34 | 46% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
4.6% | -24.8% | 0.34 | 0.18 | 1.4x | 12 | 13% |
| Donchian 채널 돌파 entryN=36, exitN=32 |
5.4% | -67.1% | 0.33 | 0.08 | 1.5x | 20 | 49% |
| EMA 크로스오버 fast=8, slow=63 |
4.2% | -59.8% | 0.29 | 0.07 | 1.4x | 42 | 47% |
| MACD fast=18, slow=32, signal=16 |
3.7% | -73.6% | 0.29 | 0.05 | 1.3x | 85 | 51% |
| ADX / DI 방향성 period=9, threshold=37 |
-1.3% | -49.3% | 0.01 | -0.03 | 0.9x | 50 | 13% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-6.4% | -78.9% | -0.01 | -0.08 | 0.6x | 111 | 48% |
| Buy and hold | -5.1% | -87.9% | 0.16 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average