Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China AMC CSI 300 Index ETF (CN) backtest
10 trend-following strategies were compared on the full daily history of China AMC CSI 300 Index ETF (CN). 8 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 6.0%, MDD -18.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.7%, drawdown -45.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.0%, MDD -18.4%, Sharpe 0.59, 20% exposure.
CAGR reference leader: Supertrend — CAGR 7.2%, MDD -27.2%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 6.0%, MDD -18.4%, 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=49, atrPeriod=20, mult=3.9 |
6.0% | -18.4% | 0.59 | 0.33 | 2.2x | 24 | 20% |
| 볼린저 밴드 돌파 n=86, k=2.9 |
5.9% | -23.8% | 0.58 | 0.25 | 2.2x | 16 | 24% |
| Supertrend period=36, mult=4.4 |
7.2% | -27.2% | 0.57 | 0.26 | 2.6x | 40 | 52% |
| ADX / DI 방향성 period=34, threshold=16 |
5.1% | -25.7% | 0.49 | 0.20 | 2.0x | 52 | 27% |
| Donchian 채널 돌파 entryN=101, exitN=49 |
5.3% | -22.4% | 0.47 | 0.24 | 2.0x | 18 | 39% |
| SMA 크로스오버 fast=38, slow=145 |
5.7% | -33.4% | 0.44 | 0.17 | 2.1x | 22 | 53% |
| Parabolic SAR step=0.02, maxStep=0.02 |
5.2% | -26.0% | 0.43 | 0.20 | 2.0x | 70 | 53% |
| EMA 크로스오버 fast=88, slow=163 |
5.4% | -44.1% | 0.41 | 0.12 | 2.1x | 9 | 52% |
| ROC 모멘텀 n=35, threshold=0.13 |
3.0% | -18.0% | 0.40 | 0.16 | 1.5x | 28 | 7% |
| MACD fast=19, slow=64, signal=22 |
1.6% | -47.7% | 0.19 | 0.03 | 1.2x | 118 | 50% |
| Buy and hold | 4.7% | -45.0% | 0.33 | 0.10 | 1.9x | 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 49-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 49-day average