Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E Fund Hang Seng TECH Index ETF backtest
10 trend-following strategies were compared on the full daily history of E Fund Hang Seng TECH Index ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.8%, MDD -10.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.3%, drawdown -61.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.8%, MDD -10.1%, Sharpe 0.54, 2% exposure.
CAGR reference leader: MACD — CAGR 7.7%, MDD -31.6%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR 3.8%, MDD -10.1%, exposure 2%).
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=23, k=3.3 |
3.8% | -10.1% | 0.54 | 0.37 | 1.2x | 2 | 2% |
| MACD fast=17, slow=38, signal=21 |
7.7% | -31.6% | 0.45 | 0.24 | 1.5x | 42 | 48% |
| ROC 모멘텀 n=180, threshold=0.08 |
5.8% | -24.0% | 0.43 | 0.24 | 1.3x | 24 | 28% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=25, mult=1.6 |
5.6% | -19.3% | 0.41 | 0.29 | 1.3x | 22 | 24% |
| Donchian 채널 돌파 entryN=46, exitN=12 |
5.1% | -19.2% | 0.41 | 0.27 | 1.3x | 14 | 20% |
| SMA 크로스오버 fast=10, slow=74 |
3.3% | -28.3% | 0.27 | 0.12 | 1.2x | 20 | 36% |
| ADX / DI 방향성 period=32, threshold=22 |
1.6% | -21.3% | 0.21 | 0.08 | 1.1x | 4 | 9% |
| Supertrend period=20, mult=4.1 |
-0.7% | -28.5% | 0.08 | -0.02 | 1.0x | 21 | 39% |
| EMA 크로스오버 fast=17, slow=45 |
-1.5% | -31.1% | 0.02 | -0.05 | 0.9x | 26 | 38% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-9.0% | -43.6% | -0.33 | -0.21 | 0.6x | 124 | 47% |
| Buy and hold | -9.3% | -61.7% | -0.13 | -0.15 | 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 23-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 23-day middle average