Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China 50 ETF backtest
10 trend-following strategies were compared on the full daily history of China 50 ETF. 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 4.5%, MDD -21.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.7%, drawdown -69.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.5%, MDD -21.3%, Sharpe 0.45, 20% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.1%, MDD -40.8%, exposure 34%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 4.5%, MDD -21.3%, exposure 20%).
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=53, atrPeriod=17, mult=3.7 |
4.5% | -21.3% | 0.45 | 0.21 | 2.3x | 36 | 20% |
| Donchian 채널 돌파 entryN=79, exitN=37 |
5.1% | -40.8% | 0.45 | 0.12 | 2.5x | 30 | 34% |
| 볼린저 밴드 돌파 n=75, k=2.7 |
4.4% | -26.4% | 0.43 | 0.17 | 2.2x | 26 | 22% |
| SMA 크로스오버 fast=20, slow=137 |
4.7% | -42.8% | 0.38 | 0.11 | 2.3x | 38 | 47% |
| EMA 크로스오버 fast=42, slow=73 |
3.9% | -47.5% | 0.33 | 0.08 | 2.0x | 35 | 47% |
| ADX / DI 방향성 period=37, threshold=21 |
2.6% | -36.0% | 0.32 | 0.07 | 1.6x | 28 | 14% |
| ROC 모멘텀 n=102, threshold=0.04 |
1.9% | -43.2% | 0.20 | 0.04 | 1.4x | 150 | 37% |
| Supertrend period=26, mult=5 |
1.3% | -44.1% | 0.16 | 0.03 | 1.3x | 60 | 42% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.7% | -51.1% | -0.04 | -0.03 | 0.7x | 154 | 47% |
| MACD fast=17, slow=39, signal=18 |
-2.5% | -52.2% | -0.08 | -0.05 | 0.6x | 202 | 49% |
| Buy and hold | -1.7% | -69.2% | 0.05 | -0.02 | 0.7x | 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 53-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 53-day average