Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E Fund CSI Dividend Trading Open Index Securities Investment Fund Units backtest
10 trend-following strategies were compared on the full daily history of E Fund CSI Dividend Trading Open Index Securities Investment Fund Units. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -22.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.7%, MDD -22.2%, Sharpe 0.50, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 97% n=31, threshold=-0.11 |
6.7% | -22.2% | 0.50 | 0.30 | 1.5x | 5 | 97% |
| Donchian 채널 돌파 Hold-like · Exposure 97% entryN=1, exitN=94 |
3.7% | -24.5% | 0.31 | 0.15 | 1.3x | 21 | 97% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
0.5% | -5.2% | 0.15 | 0.10 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=24, threshold=33 |
0.3% | -10.8% | 0.09 | 0.03 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=21, mult=4 |
0.0% | -14.2% | 0.04 | 0.00 | 1.0x | 8 | 5% |
| Supertrend period=22, mult=3 |
-0.7% | -31.0% | 0.00 | -0.02 | 1.0x | 49 | 48% |
| SMA 크로스오버 fast=37, slow=85 |
-0.8% | -34.7% | -0.01 | -0.02 | 0.9x | 20 | 57% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-1.9% | -29.9% | -0.10 | -0.06 | 0.9x | 113 | 53% |
| MACD fast=15, slow=24, signal=14 |
-2.6% | -30.6% | -0.16 | -0.08 | 0.8x | 87 | 50% |
| EMA 크로스오버 fast=59, slow=216 |
-4.3% | -44.4% | -0.29 | -0.10 | 0.7x | 12 | 72% |
| Buy and hold | 5.4% | -22.1% | 0.41 | 0.25 | 1.4x | 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 31-day return is greater than -11%
- Sell — Sell when the 31-day return drops to -11% or below