Trend-Following Backtester · Guide · backtest 한국어
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GF CSI Innovative Drug Industry ETF backtest
10 trend-following strategies were compared on the full daily history of GF CSI Innovative Drug Industry ETF. 9 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 1.6%, MDD -4.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.7%, drawdown -62.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -4.7%, Sharpe 0.39, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -25.6%, exposure 24%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 57.9%p (CAGR 1.6%, MDD -4.7%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=31 |
1.6% | -4.7% | 0.39 | 0.35 | 1.1x | 2 | 2% |
| SMA 크로스오버 fast=58, slow=282 |
3.2% | -25.6% | 0.33 | 0.12 | 1.2x | 4 | 24% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
2.0% | -16.1% | 0.28 | 0.13 | 1.1x | 2 | 2% |
| Donchian 채널 돌파 entryN=122, exitN=75 |
2.5% | -21.5% | 0.27 | 0.12 | 1.2x | 2 | 20% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=10, mult=2.9 |
1.3% | -16.2% | 0.18 | 0.08 | 1.1x | 10 | 13% |
| EMA 크로스오버 fast=47, slow=175 |
0.4% | -20.2% | 0.10 | 0.02 | 1.0x | 7 | 23% |
| MACD fast=18, slow=56, signal=18 |
-1.3% | -41.1% | 0.04 | -0.03 | 0.9x | 50 | 46% |
| Supertrend period=17, mult=1.5 |
-2.1% | -35.2% | -0.01 | -0.06 | 0.9x | 94 | 44% |
| ROC 모멘텀 n=111, threshold=0.13 |
-4.6% | -29.5% | -0.40 | -0.16 | 0.8x | 26 | 13% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-11.6% | -60.3% | -0.51 | -0.19 | 0.5x | 80 | 45% |
| Buy and hold | -7.7% | -62.5% | -0.15 | -0.12 | 0.6x | 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, 22-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)