Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E Fund CSI Hong Kong Securities Investment Theme Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of E Fund CSI Hong Kong Securities Investment Theme Exchange Traded Fund Units. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.5%, MDD -12.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.3%, drawdown -41.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.5%, MDD -12.4%, Sharpe 0.97, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 12.5%, MDD -12.4%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=12, mult=2.3 |
12.5% | -12.4% | 0.97 | 1.02 | 2.1x | 14 | 7% |
| Donchian 채널 돌파 entryN=64, exitN=5 |
10.3% | -15.4% | 0.81 | 0.67 | 1.9x | 18 | 8% |
| 볼린저 밴드 돌파 n=18, k=2.9 |
9.1% | -16.0% | 0.72 | 0.57 | 1.8x | 15 | 9% |
| ROC 모멘텀 n=56, threshold=0.12 |
7.9% | -23.3% | 0.59 | 0.34 | 1.6x | 16 | 14% |
| MACD fast=10, slow=29, signal=19 |
9.8% | -43.0% | 0.55 | 0.23 | 1.8x | 87 | 48% |
| Parabolic SAR step=0.01, maxStep=0.22 |
9.4% | -31.9% | 0.53 | 0.30 | 1.8x | 79 | 51% |
| ADX / DI 방향성 period=12, threshold=31 |
7.1% | -34.5% | 0.49 | 0.21 | 1.6x | 36 | 17% |
| Supertrend period=29, mult=1.9 |
7.7% | -28.3% | 0.49 | 0.27 | 1.6x | 87 | 41% |
| SMA 크로스오버 fast=4, slow=191 |
4.8% | -44.5% | 0.33 | 0.11 | 1.4x | 34 | 48% |
| EMA 크로스오버 fast=34, slow=149 |
3.9% | -28.4% | 0.30 | 0.14 | 1.3x | 10 | 52% |
| Buy and hold | 10.3% | -41.8% | 0.50 | 0.25 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 8-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average