Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Hong Leong Asia Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hong Leong Asia Ltd.. 10 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 17.2%, MDD -39.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.3%, drawdown -92.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.5%, MDD -48.9%, Sharpe 0.86, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 17.2%, MDD -39.8%, exposure 29%).
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=89, exitN=47 |
19.5% | -48.9% | 0.86 | 0.40 | 118.1x | 32 | 32% |
| ROC 모멘텀 n=134, threshold=0.08 |
19.4% | -55.3% | 0.83 | 0.35 | 114.7x | 116 | 37% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=36, mult=2.3 |
17.2% | -39.8% | 0.79 | 0.43 | 70.1x | 102 | 29% |
| 볼린저 밴드 돌파 n=54, k=1.7 |
15.8% | -42.6% | 0.75 | 0.37 | 51.0x | 92 | 28% |
| SMA 크로스오버 fast=16, slow=172 |
16.5% | -74.0% | 0.72 | 0.22 | 59.7x | 46 | 42% |
| EMA 크로스오버 fast=23, slow=161 |
15.7% | -70.1% | 0.69 | 0.22 | 49.4x | 42 | 42% |
| Parabolic SAR step=0.02, maxStep=0.38 |
16.1% | -55.5% | 0.68 | 0.29 | 54.0x | 450 | 47% |
| ADX / DI 방향성 period=17, threshold=26 |
12.8% | -51.2% | 0.66 | 0.25 | 24.9x | 134 | 23% |
| Supertrend period=20, mult=5 |
11.9% | -63.6% | 0.56 | 0.19 | 20.3x | 87 | 43% |
| MACD fast=13, slow=26, signal=15 |
9.5% | -71.4% | 0.46 | 0.13 | 11.4x | 380 | 49% |
| Buy and hold | 4.3% | -92.4% | 0.30 | 0.05 | 3.1x | 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 89 days
- Sell — Sell when price breaks below the lowest low of the last 47 days