Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Shanghai Pledge Chengtou Bond Exchange Traded Open-end Index Fund Units backtest
10 trend-following strategies were compared on the full daily history of Shanghai Pledge Chengtou Bond Exchange Traded Open-end Index Fund Units. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR -17.4%, drawdown -91.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.8%, MDD -90.1%, Sharpe 0.27, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=21, threshold=-0.08 |
0.8% | -90.1% | 0.27 | 0.01 | 1.1x | 3 | 99% |
| Donchian 채널 돌파 entryN=13, exitN=53 |
-17.5% | -91.1% | -0.27 | -0.19 | 0.1x | 27 | 83% |
| EMA 크로스오버 fast=57, slow=208 |
-17.9% | -91.0% | -0.29 | -0.20 | 0.1x | 11 | 47% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-18.1% | -90.6% | -0.30 | -0.20 | 0.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=4, atrPeriod=12, mult=2.2 |
-18.1% | -90.6% | -0.30 | -0.20 | 0.1x | 2 | 0% |
| Supertrend period=13, mult=4.8 |
-18.3% | -91.7% | -0.31 | -0.20 | 0.1x | 39 | 54% |
| SMA 크로스오버 fast=46, slow=89 |
-18.4% | -91.6% | -0.31 | -0.20 | 0.1x | 29 | 64% |
| ADX / DI 방향성 period=36, threshold=26 |
-18.5% | -91.3% | -0.32 | -0.20 | 0.1x | 17 | 5% |
| MACD fast=38, slow=68, signal=18 |
-19.0% | -92.4% | -0.34 | -0.21 | 0.1x | 61 | 57% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-19.7% | -92.9% | -0.38 | -0.21 | 0.1x | 61 | 46% |
| Buy and hold | -17.4% | -91.2% | 0.24 | -0.19 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 21-day return is greater than -8%
- Sell — Sell when the 21-day return drops to -8% or below