Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Hwabao WP CSI Bank ETF backtest
10 trend-following strategies were compared on the full daily history of Hwabao WP CSI Bank ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.9%, MDD -11.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR -2.1%, drawdown -58.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -3.2%, MDD -51.4%, Sharpe 0.13, 48% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -0.9%, MDD -11.1%, exposure 1%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 7.2%p (CAGR -0.9%, MDD -11.1%, exposure 1%).
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=17, slow=191 |
-3.2% | -51.4% | 0.13 | -0.06 | 0.7x | 16 | 48% |
| EMA 크로스오버 fast=35, slow=177 |
-3.7% | -51.4% | 0.11 | -0.07 | 0.7x | 12 | 47% |
| ROC 모멘텀 n=10, threshold=0.11 |
-0.9% | -11.1% | -0.22 | -0.08 | 0.9x | 10 | 1% |
| MACD fast=9, slow=42, signal=19 |
-7.5% | -58.2% | -0.22 | -0.13 | 0.5x | 109 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=48 |
-11.6% | -80.3% | -0.24 | -0.14 | 0.3x | 37 | 82% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-8.5% | -62.1% | -0.28 | -0.14 | 0.4x | 111 | 49% |
| 볼린저 밴드 돌파 n=53, k=1.2 |
-8.6% | -61.2% | -0.29 | -0.14 | 0.4x | 53 | 40% |
| Supertrend period=19, mult=5 |
-12.8% | -78.7% | -0.31 | -0.16 | 0.3x | 31 | 59% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=23, mult=3.6 |
-9.2% | -59.6% | -0.37 | -0.15 | 0.4x | 25 | 20% |
| ADX / DI 방향성 period=26, threshold=17 |
-15.6% | -80.2% | -0.47 | -0.19 | 0.2x | 62 | 32% |
| Buy and hold | -2.1% | -58.7% | 0.17 | -0.04 | 0.8x | 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 17-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 17-day average falls below the 191-day average