Trend-Following Backtester · Guide · backtest 한국어
etf · CN
ChinaAMC Hang Seng TECH Index ETEF backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC Hang Seng TECH Index ETEF. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.8%, MDD -17.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.8%, drawdown -62.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.4%, MDD -24.1%, Sharpe 0.67, 24% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.2%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 5.8%, MDD -17.8%, exposure 23%).
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=0.1 |
9.4% | -24.1% | 0.67 | 0.39 | 1.6x | 34 | 24% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=1.8 |
6.3% | -19.4% | 0.46 | 0.32 | 1.4x | 20 | 23% |
| 볼린저 밴드 돌파 n=29, k=2.1 |
5.8% | -17.8% | 0.43 | 0.33 | 1.3x | 24 | 23% |
| Donchian 채널 돌파 entryN=25, exitN=12 |
6.0% | -25.4% | 0.42 | 0.24 | 1.4x | 24 | 27% |
| MACD fast=15, slow=44, signal=22 |
6.4% | -31.7% | 0.39 | 0.20 | 1.4x | 44 | 49% |
| SMA 크로스오버 fast=11, slow=68 |
2.9% | -28.8% | 0.25 | 0.10 | 1.2x | 22 | 37% |
| ADX / DI 방향성 period=38, threshold=15 |
2.2% | -30.2% | 0.23 | 0.07 | 1.1x | 14 | 17% |
| Supertrend period=14, mult=4 |
1.3% | -32.1% | 0.17 | 0.04 | 1.1x | 19 | 42% |
| EMA 크로스오버 fast=12, slow=41 |
-1.4% | -34.9% | 0.03 | -0.04 | 0.9x | 30 | 39% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.3% | -39.2% | -0.08 | -0.11 | 0.8x | 42 | 49% |
| Buy and hold | -9.8% | -62.0% | -0.15 | -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 10%
- Sell — Sell when the 152-day return drops to 10% or below