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 15.4%, MDD -40.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.5%, drawdown -92.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.7%, MDD -50.8%, Sharpe 0.82, 36% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 15.4%, MDD -40.1%, exposure 28%).
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=75, exitN=42 |
18.7% | -50.8% | 0.82 | 0.37 | 95.1x | 40 | 36% |
| ROC 모멘텀 n=140, threshold=0.08 |
18.7% | -59.9% | 0.80 | 0.31 | 94.3x | 94 | 38% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
15.5% | -47.1% | 0.74 | 0.33 | 46.4x | 100 | 28% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=2.9 |
15.4% | -40.1% | 0.73 | 0.38 | 44.9x | 80 | 28% |
| Parabolic SAR step=0.02, maxStep=0.1 |
17.4% | -55.1% | 0.72 | 0.32 | 71.7x | 395 | 47% |
| EMA 크로스오버 fast=26, slow=147 |
16.2% | -62.9% | 0.71 | 0.26 | 54.3x | 38 | 41% |
| SMA 크로스오버 fast=13, slow=167 |
16.3% | -73.3% | 0.71 | 0.22 | 54.8x | 48 | 42% |
| ADX / DI 방향성 period=38, threshold=14 |
14.0% | -65.6% | 0.66 | 0.21 | 32.6x | 148 | 35% |
| Supertrend period=29, mult=4.5 |
12.1% | -67.0% | 0.57 | 0.18 | 20.9x | 100 | 40% |
| MACD fast=12, slow=31, signal=10 |
9.6% | -75.9% | 0.47 | 0.13 | 11.3x | 441 | 49% |
| Buy and hold | 4.5% | -92.4% | 0.30 | 0.05 | 3.3x | 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 75 days
- Sell — Sell when price breaks below the lowest low of the last 42 days