Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China Southern CSI SWS Non-ferrous Metal Index Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of China Southern CSI SWS Non-ferrous Metal Index Exchange Traded Fund Units. 7 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 8.8%, MDD -21.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.6%, drawdown -53.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.0%, MDD -31.0%, Sharpe 0.56, 32% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 8.8%, MDD -21.8%, exposure 23%).
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=58, atrPeriod=12, mult=1.8 |
10.0% | -31.0% | 0.56 | 0.32 | 2.4x | 38 | 32% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
8.8% | -21.8% | 0.55 | 0.40 | 2.1x | 26 | 23% |
| Donchian 채널 돌파 entryN=94, exitN=77 |
9.7% | -32.9% | 0.51 | 0.29 | 2.3x | 8 | 45% |
| ADX / DI 방향성 period=13, threshold=22 |
7.8% | -26.3% | 0.48 | 0.30 | 2.0x | 82 | 30% |
| SMA 크로스오버 fast=25, slow=165 |
8.9% | -47.9% | 0.48 | 0.19 | 2.2x | 16 | 53% |
| EMA 크로스오버 fast=51, slow=54 |
7.4% | -51.4% | 0.42 | 0.14 | 1.9x | 22 | 49% |
| ROC 모멘텀 n=144, threshold=0.01 |
7.5% | -47.2% | 0.42 | 0.16 | 1.9x | 56 | 51% |
| Supertrend period=19, mult=4.3 |
5.7% | -38.9% | 0.36 | 0.15 | 1.7x | 32 | 42% |
| MACD fast=12, slow=31, signal=19 |
4.7% | -42.4% | 0.32 | 0.11 | 1.5x | 107 | 51% |
| Parabolic SAR step=0.01, maxStep=0.34 |
3.2% | -35.7% | 0.26 | 0.09 | 1.3x | 105 | 48% |
| Buy and hold | 6.6% | -53.4% | 0.37 | 0.12 | 1.8x | 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 58-day average + 1.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 58-day average