Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China Southern CSI 500 ETF Fund backtest
10 trend-following strategies were compared on the full daily history of China Southern CSI 500 ETF Fund. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.4%, MDD -28.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -63.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -28.4%, Sharpe 0.59, 18% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 7.4%, MDD -28.4%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=41, k=2.3 |
7.4% | -28.4% | 0.59 | 0.26 | 2.6x | 28 | 18% |
| ADX / DI 방향성 period=30, threshold=22 |
5.4% | -27.8% | 0.50 | 0.19 | 2.0x | 22 | 12% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=19, mult=2.1 |
5.5% | -26.3% | 0.47 | 0.21 | 2.0x | 56 | 19% |
| Donchian 채널 돌파 entryN=35, exitN=41 |
4.6% | -45.3% | 0.34 | 0.10 | 1.8x | 40 | 54% |
| Supertrend period=18, mult=2.9 |
4.3% | -49.7% | 0.33 | 0.09 | 1.8x | 96 | 51% |
| SMA 크로스오버 fast=17, slow=234 |
4.6% | -65.5% | 0.33 | 0.07 | 1.8x | 23 | 58% |
| ROC 모멘텀 n=153, threshold=-0.04 |
4.2% | -58.6% | 0.30 | 0.07 | 1.7x | 83 | 66% |
| EMA 크로스오버 fast=45, slow=78 |
2.5% | -61.5% | 0.23 | 0.04 | 1.4x | 34 | 56% |
| MACD fast=14, slow=52, signal=18 |
2.3% | -67.3% | 0.22 | 0.03 | 1.4x | 150 | 53% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.4% | -58.0% | 0.12 | 0.01 | 1.1x | 186 | 52% |
| Buy and hold | 5.6% | -63.3% | 0.35 | 0.09 | 2.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 41-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 41-day middle average