SleepWell Trade

Trend-Following Backtester · Guide · backtest 한국어

equity · HK

Haidilao International Holding Ltd. backtest

10 trend-following strategies were compared on the full daily history of Haidilao International Holding Ltd.. 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 5.0%, MDD -23.6%).

Data 2018-09-26 ~ 2026-07-31daily bars 1,928 (7.8 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -5.1%, drawdown -87.9%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.0%, MDD -23.6%, Sharpe 0.45, 6% exposure.

CAGR reference leader: Supertrend — CAGR 8.8%, MDD -57.7%, exposure 50%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 64.3%p (CAGR 5.0%, MDD -23.6%, exposure 6%).

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
Keltner 채널 돌파
emaPeriod=21, atrPeriod=19, mult=3.6
5.0%-23.6%0.450.211.5x86%
Supertrend
period=28, mult=4.9
8.8%-57.7%0.420.151.9x1850%
ROC 모멘텀
n=58, threshold=-0.04
6.3%-57.5%0.350.111.6x8053%
SMA 크로스오버
fast=16, slow=65
5.9%-58.3%0.340.101.6x3446%
볼린저 밴드 돌파
n=47, k=3.4
4.6%-24.8%0.340.181.4x1213%
Donchian 채널 돌파
entryN=36, exitN=32
5.4%-67.1%0.330.081.5x2049%
EMA 크로스오버
fast=8, slow=63
4.2%-59.8%0.290.071.4x4247%
MACD
fast=18, slow=32, signal=16
3.7%-73.6%0.290.051.3x8551%
ADX / DI 방향성
period=9, threshold=37
-1.3%-49.3%0.01-0.030.9x5013%
Parabolic SAR
step=0.01, maxStep=0.24
-6.4%-78.9%-0.01-0.080.6x11148%
Buy and hold-5.1%-87.9%0.16-0.060.7x1100%
1x 2019 2020 2021 2022 2023 2024 2025 2026 SupertrendKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -22% -44% -66% -88% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdSupertrendKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -23.6% (2020-09-18 → 2024-10-16), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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