Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Guotai CSI National Defense Industry Index ETF backtest
10 trend-following strategies were compared on the full daily history of Guotai CSI National Defense Industry Index ETF. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -12.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.8%, drawdown -50.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -12.0%, Sharpe 0.45, 5% exposure.
CAGR reference leader: MACD — CAGR 4.7%, MDD -33.5%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 4.3%, MDD -12.0%, exposure 5%).
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=17, k=3.1 |
4.3% | -12.0% | 0.45 | 0.36 | 1.5x | 8 | 5% |
| MACD fast=17, slow=46, signal=18 |
4.7% | -33.5% | 0.33 | 0.14 | 1.6x | 94 | 50% |
| SMA 크로스오버 fast=26, slow=204 |
4.0% | -37.0% | 0.30 | 0.11 | 1.5x | 10 | 43% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=21, mult=4 |
2.7% | -16.6% | 0.29 | 0.16 | 1.3x | 10 | 5% |
| EMA 크로스오버 fast=22, slow=188 |
3.5% | -33.1% | 0.27 | 0.11 | 1.4x | 14 | 44% |
| ADX / DI 방향성 period=15, threshold=34 |
1.3% | -18.3% | 0.18 | 0.07 | 1.1x | 14 | 7% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-0.2% | -42.8% | 0.10 | -0.01 | 1.0x | 132 | 49% |
| ROC 모멘텀 n=128, threshold=0.06 |
-0.2% | -44.2% | 0.09 | -0.00 | 1.0x | 54 | 37% |
| Supertrend period=15, mult=3.2 |
-0.8% | -44.6% | 0.07 | -0.02 | 0.9x | 68 | 48% |
| Donchian 채널 돌파 entryN=17, exitN=78 |
-4.5% | -52.1% | -0.05 | -0.09 | 0.6x | 32 | 77% |
| Buy and hold | 0.8% | -50.9% | 0.18 | 0.02 | 1.1x | 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 17-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 17-day middle average