Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Huatai-PB CSI Dividend Low Volatility Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of Huatai-PB CSI Dividend Low Volatility Exchange Traded Fund Units. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.9%, MDD -16.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.2%, drawdown -50.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -16.5%, Sharpe 0.69, 92% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.1%, MDD -22.5%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 9.9%, MDD -16.5%, exposure 92%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=138, threshold=-0.11 |
9.9% | -16.5% | 0.69 | 0.60 | 2.1x | 5 | 92% |
| Donchian 채널 돌파 Hold-like · Exposure 98% entryN=5, exitN=107 |
10.1% | -22.5% | 0.69 | 0.45 | 2.1x | 9 | 98% |
| EMA 크로스오버 fast=54, slow=193 |
7.5% | -16.5% | 0.60 | 0.45 | 1.7x | 2 | 78% |
| SMA 크로스오버 fast=130, slow=213 |
7.1% | -16.5% | 0.55 | 0.43 | 1.7x | 6 | 79% |
| Supertrend period=16, mult=3 |
4.8% | -18.6% | 0.46 | 0.26 | 1.4x | 51 | 50% |
| 볼린저 밴드 돌파 n=27, k=3.2 |
1.5% | -7.4% | 0.35 | 0.20 | 1.1x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=2.2 |
1.6% | -13.8% | 0.25 | 0.12 | 1.1x | 26 | 10% |
| MACD fast=7, slow=25, signal=13 |
2.0% | -28.2% | 0.23 | 0.07 | 1.2x | 141 | 51% |
| ADX / DI 방향성 period=28, threshold=17 |
-1.6% | -27.8% | -0.11 | -0.06 | 0.9x | 38 | 29% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-6.5% | -53.8% | -0.17 | -0.12 | 0.6x | 111 | 55% |
| Buy and hold | 2.2% | -50.3% | 0.25 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 138-day return is greater than -11%
- Sell — Sell when the 138-day return drops to -11% or below