Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Kingboard Laminates Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Kingboard Laminates Holdings Limited. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.8%, MDD -51.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.2%, drawdown -83.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.8%, MDD -51.3%, Sharpe 0.64, 42% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.4%, MDD -72.0%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 16.8%, MDD -51.3%, exposure 42%).
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=56, atrPeriod=14, mult=1.4 |
16.8% | -51.3% | 0.64 | 0.33 | 21.1x | 100 | 42% |
| Donchian 채널 돌파 entryN=98, exitN=74 |
17.3% | -72.0% | 0.64 | 0.24 | 23.1x | 21 | 48% |
| SMA 크로스오버 fast=34, slow=87 |
17.4% | -72.0% | 0.63 | 0.24 | 23.5x | 53 | 54% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
15.8% | -51.3% | 0.61 | 0.31 | 18.0x | 110 | 43% |
| EMA 크로스오버 fast=30, slow=155 |
14.5% | -72.0% | 0.57 | 0.20 | 14.3x | 29 | 46% |
| ROC 모멘텀 n=73, threshold=0 |
15.1% | -72.0% | 0.57 | 0.21 | 15.8x | 155 | 53% |
| ADX / DI 방향성 period=39, threshold=15 |
13.1% | -53.2% | 0.57 | 0.25 | 11.2x | 98 | 30% |
| Supertrend period=20, mult=3.4 |
12.3% | -61.3% | 0.52 | 0.20 | 9.8x | 104 | 49% |
| MACD fast=18, slow=56, signal=17 |
9.4% | -70.3% | 0.44 | 0.13 | 5.8x | 198 | 52% |
| Parabolic SAR step=0.02, maxStep=0.26 |
3.6% | -76.7% | 0.27 | 0.05 | 2.0x | 378 | 53% |
| Buy and hold | 6.2% | -83.8% | 0.37 | 0.07 | 3.3x | 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 56-day average + 1.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 56-day average