Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Bosera Hang Seng Healthcare Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of Bosera Hang Seng Healthcare Exchange Traded Fund. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -7.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.3%, drawdown -73.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -7.6%, Sharpe 0.67, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 7.6%, MDD -17.8%, exposure 26%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 65.7%p (CAGR 4.6%, MDD -7.6%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=31 |
4.6% | -7.6% | 0.67 | 0.61 | 1.3x | 6 | 5% |
| 볼린저 밴드 돌파 n=34, k=2.4 |
7.5% | -15.5% | 0.54 | 0.48 | 1.5x | 12 | 18% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=2 |
7.6% | -17.8% | 0.52 | 0.43 | 1.5x | 18 | 26% |
| SMA 크로스오버 fast=39, slow=177 |
6.8% | -28.4% | 0.48 | 0.24 | 1.4x | 4 | 32% |
| ROC 모멘텀 n=143, threshold=-0.04 |
7.2% | -31.5% | 0.46 | 0.23 | 1.4x | 14 | 38% |
| EMA 크로스오버 fast=54, slow=112 |
6.4% | -26.8% | 0.46 | 0.24 | 1.4x | 4 | 33% |
| Donchian 채널 돌파 entryN=71, exitN=24 |
4.2% | -23.8% | 0.35 | 0.18 | 1.2x | 10 | 19% |
| Supertrend period=16, mult=2.7 |
3.8% | -34.7% | 0.29 | 0.11 | 1.2x | 39 | 39% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-3.1% | -43.4% | -0.03 | -0.07 | 0.8x | 92 | 41% |
| MACD fast=14, slow=27, signal=12 |
-10.0% | -58.2% | -0.34 | -0.17 | 0.6x | 75 | 45% |
| Buy and hold | -11.3% | -73.3% | -0.19 | -0.15 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)