Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Guotai All-Share Index Securities Companies ETF backtest
10 trend-following strategies were compared on the full daily history of Guotai All-Share Index Securities Companies ETF. 5 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 6.2%, MDD -10.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.0%, drawdown -45.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.9%, MDD -13.3%, Sharpe 0.60, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 6.2%, MDD -10.9%, exposure 4%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 6.2%, MDD -10.9%, exposure 4%).
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=14, k=3.2 |
5.9% | -13.3% | 0.60 | 0.44 | 1.8x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=14, mult=2.8 |
6.2% | -10.9% | 0.60 | 0.57 | 1.8x | 12 | 4% |
| ROC 모멘텀 n=32, threshold=0.18 |
4.1% | -17.6% | 0.39 | 0.23 | 1.5x | 14 | 5% |
| MACD fast=10, slow=21, signal=16 |
2.2% | -39.2% | 0.21 | 0.06 | 1.2x | 138 | 49% |
| ADX / DI 방향성 period=22, threshold=40 |
1.0% | -16.1% | 0.17 | 0.06 | 1.1x | 6 | 4% |
| Parabolic SAR step=0.01, maxStep=0.2 |
0.5% | -50.2% | 0.13 | 0.01 | 1.1x | 110 | 46% |
| Donchian 채널 돌파 entryN=48, exitN=10 |
0.2% | -36.2% | 0.10 | 0.01 | 1.0x | 38 | 18% |
| SMA 크로스오버 fast=41, slow=114 |
-1.0% | -43.8% | 0.04 | -0.02 | 0.9x | 25 | 40% |
| EMA 크로스오버 fast=31, slow=160 |
-2.3% | -48.2% | -0.01 | -0.05 | 0.8x | 20 | 45% |
| Supertrend period=25, mult=5 |
-3.3% | -60.4% | -0.05 | -0.05 | 0.7x | 33 | 46% |
| Buy and hold | 1.0% | -45.4% | 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 14-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 14-day middle average