Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hithink RoyalFlush Information Network Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hithink RoyalFlush Information Network Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 29.0%, MDD -49.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 24.3%, drawdown -79.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.0%, MDD -43.8%, Sharpe 0.86, 12% exposure.
CAGR reference leader: Parabolic SAR — CAGR 29.0%, MDD -49.5%, exposure 46%.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 35.7%p (CAGR 29.0%, MDD -49.5%, exposure 46%).
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=20, atrPeriod=24, mult=3.3 |
23.0% | -43.8% | 0.86 | 0.52 | 30.9x | 40 | 12% |
| 볼린저 밴드 돌파 n=21, k=2.5 |
24.7% | -57.2% | 0.83 | 0.43 | 39.0x | 90 | 22% |
| Parabolic SAR step=0.01, maxStep=0.08 |
29.0% | -49.5% | 0.83 | 0.59 | 68.3x | 174 | 46% |
| Donchian 채널 돌파 entryN=100, exitN=67 |
27.9% | -66.3% | 0.81 | 0.42 | 59.8x | 14 | 39% |
| Supertrend period=29, mult=1.8 |
25.0% | -61.3% | 0.76 | 0.41 | 40.5x | 208 | 43% |
| ROC 모멘텀 n=85, threshold=0.1 |
22.5% | -73.6% | 0.71 | 0.31 | 29.0x | 142 | 34% |
| ADX / DI 방향성 period=31, threshold=30 |
16.5% | -41.0% | 0.69 | 0.40 | 12.5x | 18 | 12% |
| MACD fast=15, slow=53, signal=13 |
21.7% | -60.3% | 0.69 | 0.36 | 25.9x | 200 | 48% |
| SMA 크로스오버 fast=56, slow=91 |
19.5% | -73.3% | 0.64 | 0.27 | 19.2x | 56 | 46% |
| EMA 크로스오버 fast=33, slow=105 |
17.9% | -75.2% | 0.60 | 0.24 | 15.3x | 40 | 47% |
| Buy and hold | 24.3% | -79.6% | 0.68 | 0.31 | 37.2x | 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 20-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average