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Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Dongyue Group Limited backtest

10 trend-following strategies were compared on the full daily history of Dongyue Group Limited. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 27.2%, MDD -58.3%).

Data 2007-12-10 ~ 2026-07-31daily bars 4,593 (18.6 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 10.3%, drawdown -88.4%).

Sharpe leader (same as main): MACD — CAGR 27.2%, MDD -58.3%, Sharpe 0.73, 54% exposure.

Return/drawdown alternative: MACD — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 27.2%, MDD -58.3%, exposure 54%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=28, slow=58, signal=17
27.2%-58.3%0.730.4788.2x13054%
볼린저 밴드 돌파
n=33, k=2.4
19.8%-59.3%0.720.3328.8x7625%
Parabolic SAR
step=0.005, maxStep=0.14
25.7%-76.1%0.710.3470.7x13252%
Supertrend
period=17, mult=5
24.6%-62.8%0.690.3960.6x4055%
Donchian 채널 돌파
entryN=91, exitN=63
24.0%-65.4%0.680.3755.4x2345%
Keltner 채널 돌파
emaPeriod=23, atrPeriod=20, mult=1.9
18.0%-59.2%0.680.3021.9x11224%
EMA 크로스오버
fast=30, slow=125
19.1%-69.9%0.640.2725.9x2943%
SMA 크로스오버
fast=7, slow=24
17.0%-64.8%0.600.2618.5x19244%
ROC 모멘텀
n=88, threshold=0.09
15.8%-67.3%0.570.2315.4x13840%
ADX / DI 방향성
period=34, threshold=11
13.3%-75.8%0.520.1810.3x16244%
Buy and hold10.3%-88.4%0.450.126.2x1100%
1x 10x 100x 2008 2011 2014 2017 2020 2023 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -88% 2008 2011 2014 2017 2020 2023 2026 Buy and holdMACD
MACD maximum drawdown -58.3% (2013-01-15 → 2016-03-16), recovered after 1,605 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore HK assetsAll asset reports

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