Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Huatai-PB CSOP Hang Seng TECH Index Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of Huatai-PB CSOP Hang Seng TECH Index Exchange Traded Fund Units. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.0%, MDD -9.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.1%, drawdown -62.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.5%, MDD -23.9%, Sharpe 0.74, 22% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.6%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 4.0%, MDD -9.8%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=152, threshold=0.12 |
10.5% | -23.9% | 0.74 | 0.44 | 1.7x | 32 | 22% |
| 볼린저 밴드 돌파 n=21, k=3.3 |
4.0% | -9.8% | 0.56 | 0.41 | 1.2x | 2 | 2% |
| Donchian 채널 돌파 entryN=42, exitN=15 |
6.3% | -16.7% | 0.48 | 0.38 | 1.4x | 14 | 20% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=1.7 |
6.5% | -18.0% | 0.46 | 0.36 | 1.4x | 16 | 26% |
| MACD fast=18, slow=38, signal=20 |
7.1% | -32.6% | 0.42 | 0.22 | 1.4x | 40 | 49% |
| Supertrend period=30, mult=3.3 |
1.0% | -37.9% | 0.16 | 0.03 | 1.1x | 29 | 41% |
| SMA 크로스오버 fast=14, slow=68 |
0.4% | -29.1% | 0.12 | 0.01 | 1.0x | 18 | 37% |
| EMA 크로스오버 fast=21, slow=143 |
0.4% | -25.7% | 0.11 | 0.02 | 1.0x | 10 | 35% |
| ADX / DI 방향성 period=16, threshold=13 |
-4.2% | -31.9% | -0.11 | -0.13 | 0.8x | 82 | 40% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-10.2% | -52.4% | -0.38 | -0.20 | 0.6x | 122 | 48% |
| Buy and hold | -10.1% | -62.3% | -0.16 | -0.16 | 0.6x | 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 152-day return is greater than 12%
- Sell — Sell when the 152-day return drops to 12% or below