Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Holy Stone Enterprise Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Holy Stone Enterprise Co., Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.7%, drawdown -75.0%).
Sharpe leader (same as main): Supertrend — CAGR 17.9%, MDD -72.1%, Sharpe 0.68, 57% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=5 |
17.9% | -72.1% | 0.68 | 0.25 | 80.3x | 71 | 57% |
| SMA 크로스오버 fast=8, slow=140 |
15.9% | -63.9% | 0.66 | 0.25 | 50.3x | 69 | 46% |
| EMA 크로스오버 fast=41, slow=47 |
15.0% | -74.4% | 0.61 | 0.20 | 41.5x | 71 | 50% |
| ROC 모멘텀 n=96, threshold=0.01 |
11.5% | -67.6% | 0.53 | 0.17 | 18.4x | 197 | 47% |
| Donchian 채널 돌파 entryN=54, exitN=48 |
11.9% | -63.2% | 0.53 | 0.19 | 20.2x | 52 | 52% |
| Parabolic SAR step=0.015, maxStep=0.32 |
10.6% | -81.4% | 0.51 | 0.13 | 14.7x | 372 | 52% |
| MACD fast=21, slow=30, signal=18 |
10.5% | -66.8% | 0.50 | 0.16 | 14.4x | 273 | 52% |
| ADX / DI 방향성 period=25, threshold=15 |
10.0% | -67.5% | 0.48 | 0.15 | 12.6x | 211 | 43% |
| 볼린저 밴드 돌파 n=31, k=1.1 |
7.6% | -78.4% | 0.41 | 0.10 | 7.1x | 233 | 42% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=28, mult=3.3 |
6.4% | -73.9% | 0.38 | 0.09 | 5.2x | 80 | 26% |
| Buy and hold | 18.7% | -75.0% | 0.64 | 0.25 | 96.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)