Trend-Following Backtester · Guide · backtest 한국어
equity · HK
GCL Technology Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of GCL Technology Holdings Limited. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.1%, MDD -56.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.1%, drawdown -96.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.1%, MDD -69.6%, Sharpe 0.59, 27% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.8%, MDD -70.5%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.2%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 13.1%, MDD -56.0%, exposure 9%).
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=46, atrPeriod=15, mult=1.8 |
17.1% | -69.6% | 0.59 | 0.25 | 19.2x | 80 | 27% |
| Donchian 채널 돌파 entryN=40, exitN=36 |
18.8% | -70.5% | 0.58 | 0.27 | 25.1x | 46 | 44% |
| 볼린저 밴드 돌파 n=42, k=2.9 |
15.1% | -72.7% | 0.57 | 0.21 | 14.0x | 40 | 17% |
| ADX / DI 방향성 period=35, threshold=25 |
13.1% | -56.0% | 0.55 | 0.23 | 10.1x | 18 | 9% |
| EMA 크로스오버 fast=14, slow=39 |
16.2% | -77.1% | 0.55 | 0.21 | 16.6x | 80 | 38% |
| SMA 크로스오버 fast=10, slow=53 |
15.2% | -81.9% | 0.54 | 0.19 | 14.2x | 94 | 40% |
| MACD fast=8, slow=52, signal=10 |
12.7% | -66.6% | 0.47 | 0.19 | 9.4x | 303 | 53% |
| Parabolic SAR step=0.02, maxStep=0.12 |
11.0% | -75.4% | 0.45 | 0.15 | 7.0x | 309 | 43% |
| Supertrend period=27, mult=3.2 |
8.5% | -75.8% | 0.40 | 0.11 | 4.6x | 98 | 41% |
| ROC 모멘텀 n=19, threshold=0.01 |
8.2% | -78.6% | 0.39 | 0.10 | 4.4x | 406 | 40% |
| Buy and hold | -10.1% | -96.1% | 0.16 | -0.11 | 0.1x | 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 46-day average + 1.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average