Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Fullgoal CSI Military Top Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of Fullgoal CSI Military Top Exchange Traded Fund Units. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.0%, MDD -16.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.0%, drawdown -56.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -20.5%, Sharpe 0.59, 12% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 5.0%, MDD -16.7%, exposure 9%).
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=27, k=2.8 |
8.4% | -20.5% | 0.59 | 0.41 | 1.8x | 14 | 12% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=2.3 |
5.0% | -16.7% | 0.41 | 0.30 | 1.4x | 22 | 9% |
| SMA 크로스오버 fast=43, slow=201 |
6.4% | -33.6% | 0.40 | 0.19 | 1.5x | 8 | 46% |
| MACD fast=16, slow=42, signal=15 |
6.2% | -40.6% | 0.38 | 0.15 | 1.5x | 72 | 50% |
| Donchian 채널 돌파 entryN=79, exitN=37 |
3.9% | -32.9% | 0.29 | 0.12 | 1.3x | 12 | 34% |
| EMA 크로스오버 fast=55, slow=149 |
3.9% | -34.3% | 0.29 | 0.11 | 1.3x | 8 | 45% |
| ROC 모멘텀 n=144, threshold=-0.04 |
2.9% | -45.5% | 0.25 | 0.06 | 1.2x | 46 | 57% |
| Supertrend period=26, mult=5 |
2.3% | -28.9% | 0.22 | 0.08 | 1.2x | 20 | 49% |
| ADX / DI 방향성 period=16, threshold=17 |
-0.7% | -39.9% | 0.07 | -0.02 | 1.0x | 80 | 33% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-14.1% | -65.5% | -0.35 | -0.21 | 0.3x | 118 | 47% |
| Buy and hold | -7.0% | -56.9% | 0.01 | -0.12 | 0.6x | 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 27-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 27-day middle average