Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Hwabao WP CSI Securities Companies Index ETF Fund backtest
10 trend-following strategies were compared on the full daily history of Hwabao WP CSI Securities Companies Index ETF Fund. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -13.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.3%, drawdown -63.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.6%, MDD -15.5%, Sharpe 0.51, 5% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 48.3%p (CAGR 3.3%, MDD -13.7%, exposure 2%).
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=14, atrPeriod=13, mult=3 |
5.6% | -15.5% | 0.51 | 0.36 | 1.7x | 12 | 5% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
3.3% | -13.7% | 0.46 | 0.24 | 1.4x | 4 | 2% |
| ROC 모멘텀 n=3, threshold=0.08 |
3.6% | -15.6% | 0.40 | 0.23 | 1.4x | 28 | 1% |
| MACD fast=12, slow=23, signal=11 |
2.4% | -36.4% | 0.22 | 0.06 | 1.3x | 142 | 50% |
| Donchian 채널 돌파 entryN=46, exitN=6 |
0.9% | -35.5% | 0.14 | 0.03 | 1.1x | 38 | 11% |
| Supertrend period=27, mult=2 |
-2.8% | -52.5% | -0.05 | -0.05 | 0.8x | 108 | 39% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-3.1% | -50.4% | -0.06 | -0.06 | 0.7x | 212 | 47% |
| ADX / DI 방향성 period=28, threshold=35 |
-0.7% | -14.9% | -0.09 | -0.05 | 0.9x | 4 | 2% |
| SMA 크로스오버 fast=55, slow=71 |
-6.7% | -61.2% | -0.12 | -0.11 | 0.5x | 47 | 39% |
| EMA 크로스오버 fast=25, slow=163 |
-8.0% | -69.1% | -0.17 | -0.12 | 0.4x | 20 | 39% |
| Buy and hold | -6.3% | -63.8% | -0.02 | -0.10 | 0.5x | 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 14-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average