Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Guotai CSI All Share Communications ETF backtest
10 trend-following strategies were compared on the full daily history of Guotai CSI All Share Communications ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.7%, MDD -11.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -5.6%, drawdown -83.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.7%, MDD -11.4%, Sharpe 0.73, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 9.5%, MDD -16.9%, exposure 7%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.3%p higher than buy and hold, while drawdown improves by 71.6%p (CAGR 7.7%, MDD -11.4%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=2.9 |
7.7% | -11.4% | 0.73 | 0.68 | 1.7x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=2.4 |
9.5% | -16.9% | 0.73 | 0.56 | 1.9x | 14 | 7% |
| ADX / DI 방향성 period=20, threshold=37 |
7.5% | -13.2% | 0.66 | 0.56 | 1.7x | 4 | 5% |
| MACD fast=15, slow=44, signal=19 |
8.0% | -56.0% | 0.44 | 0.14 | 1.7x | 65 | 50% |
| ROC 모멘텀 n=20, threshold=0.13 |
3.7% | -38.3% | 0.30 | 0.10 | 1.3x | 65 | 13% |
| SMA 크로스오버 fast=10, slow=64 |
-2.5% | -83.0% | 0.26 | -0.03 | 0.8x | 32 | 48% |
| Donchian 채널 돌파 entryN=28, exitN=57 |
-2.8% | -76.6% | 0.24 | -0.04 | 0.8x | 18 | 63% |
| EMA 크로스오버 fast=6, slow=62 |
-7.6% | -81.9% | 0.11 | -0.09 | 0.6x | 36 | 50% |
| Parabolic SAR step=0.05, maxStep=0.06 |
-13.2% | -80.2% | -0.05 | -0.16 | 0.4x | 113 | 52% |
| Supertrend period=15, mult=3.2 |
-17.7% | -90.0% | -0.09 | -0.20 | 0.3x | 42 | 51% |
| Buy and hold | -5.6% | -83.0% | 0.27 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 17-day middle average