Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China Southern CSI All Share Real Estate Index Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of China Southern CSI All Share Real Estate Index Exchange Traded Fund Units. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 2.2%, drawdown -64.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.7%, MDD -63.7%, Sharpe 0.38, 36% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=81 |
10.7% | -63.7% | 0.38 | 0.17 | 2.5x | 28 | 36% |
| ADX / DI 방향성 period=25, threshold=36 |
1.2% | -13.9% | 0.32 | 0.09 | 1.1x | 4 | 2% |
| MACD fast=12, slow=35, signal=16 |
5.0% | -63.7% | 0.32 | 0.08 | 1.6x | 107 | 48% |
| ROC 모멘텀 n=71, threshold=-0.04 |
-4.0% | -76.0% | 0.22 | -0.05 | 0.7x | 120 | 50% |
| Donchian 채널 돌파 entryN=115, exitN=14 |
0.2% | -76.1% | 0.22 | 0.00 | 1.0x | 16 | 13% |
| Supertrend period=17, mult=1.8 |
-1.8% | -66.5% | 0.20 | -0.03 | 0.9x | 120 | 48% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-3.3% | -65.4% | 0.17 | -0.05 | 0.7x | 107 | 46% |
| EMA 크로스오버 fast=15, slow=198 |
-4.7% | -83.7% | 0.14 | -0.06 | 0.7x | 22 | 35% |
| 볼린저 밴드 돌파 n=18, k=3.1 |
-7.4% | -65.9% | -0.14 | -0.11 | 0.5x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=8, mult=4 |
-7.9% | -68.2% | -0.14 | -0.12 | 0.5x | 12 | 11% |
| Buy and hold | 2.2% | -64.1% | 0.30 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 56-day average falls below the 81-day average