Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Penghua CSI Liquor Index ETF backtest
10 trend-following strategies were compared on the full daily history of Penghua CSI Liquor Index ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -23.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.1%, drawdown -85.5%).
Sharpe leader (same as main): Supertrend — CAGR 9.6%, MDD -53.9%, Sharpe 0.40, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.7%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 3.4%, MDD -23.4%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=2.5 |
9.6% | -53.9% | 0.40 | 0.18 | 2.0x | 58 | 44% |
| ADX / DI 방향성 period=27, threshold=27 |
3.4% | -23.4% | 0.35 | 0.15 | 1.3x | 8 | 10% |
| 볼린저 밴드 돌파 n=32, k=1.3 |
7.1% | -53.7% | 0.34 | 0.13 | 1.7x | 52 | 36% |
| Donchian 채널 돌파 entryN=12, exitN=13 |
5.8% | -62.8% | 0.33 | 0.09 | 1.5x | 48 | 53% |
| ROC 모멘텀 n=131, threshold=0.08 |
5.6% | -61.5% | 0.31 | 0.09 | 1.5x | 36 | 25% |
| SMA 크로스오버 fast=12, slow=66 |
4.1% | -69.2% | 0.29 | 0.06 | 1.3x | 23 | 46% |
| MACD fast=11, slow=54, signal=18 |
3.7% | -56.8% | 0.28 | 0.06 | 1.3x | 76 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=2 |
2.6% | -68.3% | 0.25 | 0.04 | 1.2x | 26 | 29% |
| EMA 크로스오버 fast=28, slow=29 |
0.9% | -73.5% | 0.22 | 0.01 | 1.1x | 25 | 45% |
| Parabolic SAR step=0.045, maxStep=0.14 |
-0.1% | -76.1% | 0.19 | -0.00 | 1.0x | 186 | 47% |
| Buy and hold | -11.1% | -85.5% | 0.05 | -0.13 | 0.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)