Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Hwabao WP CSI Medical Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of Hwabao WP CSI Medical Exchange Traded Fund Units. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -5.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.5%, drawdown -73.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.4%, MDD -34.1%, Sharpe 0.66, 35% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.9%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 0.9%, MDD -5.3%, exposure 1%).
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=25, k=1.4 |
10.4% | -34.1% | 0.66 | 0.30 | 2.0x | 51 | 35% |
| MACD fast=16, slow=46, signal=14 |
9.8% | -46.7% | 0.56 | 0.21 | 2.0x | 67 | 50% |
| Supertrend period=4, mult=5 |
3.6% | -67.3% | 0.51 | 0.05 | 1.3x | 21 | 48% |
| Donchian 채널 돌파 entryN=125, exitN=70 |
6.4% | -32.0% | 0.44 | 0.20 | 1.6x | 4 | 37% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=1.6 |
5.7% | -16.9% | 0.42 | 0.33 | 1.5x | 24 | 28% |
| ROC 모멘텀 n=143, threshold=0.14 |
5.1% | -32.7% | 0.41 | 0.15 | 1.4x | 34 | 25% |
| ADX / DI 방향성 period=22, threshold=37 |
0.9% | -5.3% | 0.33 | 0.16 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-14.4% | -75.0% | 0.26 | -0.19 | 0.3x | 88 | 45% |
| SMA 크로스오버 fast=51, slow=218 |
2.9% | -37.3% | 0.26 | 0.08 | 1.2x | 8 | 39% |
| EMA 크로스오버 fast=22, slow=145 |
0.6% | -44.5% | 0.12 | 0.01 | 1.0x | 12 | 35% |
| Buy and hold | -14.5% | -73.5% | 0.43 | -0.20 | 0.3x | 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 25-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 25-day middle average