Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China AMC SSE STAR 50 Index ETF backtest
10 trend-following strategies were compared on the full daily history of China AMC SSE STAR 50 Index ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.3%, MDD -19.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.5%, drawdown -59.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.7%, MDD -19.0%, Sharpe 0.78, 27% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 8.3%, MDD -19.0%, exposure 19%).
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=24, k=1.7 |
15.7% | -19.0% | 0.78 | 0.82 | 2.4x | 34 | 27% |
| MACD fast=19, slow=28, signal=15 |
14.6% | -42.1% | 0.70 | 0.35 | 2.2x | 60 | 46% |
| ADX / DI 방향성 period=21, threshold=18 |
13.8% | -29.0% | 0.68 | 0.48 | 2.2x | 28 | 31% |
| Parabolic SAR step=0.01, maxStep=0.28 |
13.3% | -34.2% | 0.67 | 0.39 | 2.1x | 74 | 45% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=34, mult=1.4 |
12.8% | -22.2% | 0.66 | 0.58 | 2.0x | 36 | 27% |
| Supertrend period=15, mult=2.3 |
10.4% | -30.2% | 0.55 | 0.34 | 1.8x | 50 | 45% |
| EMA 크로스오버 fast=63, slow=280 |
9.4% | -30.2% | 0.55 | 0.31 | 1.7x | 3 | 32% |
| SMA 크로스오버 fast=20, slow=264 |
9.2% | -30.2% | 0.53 | 0.30 | 1.7x | 5 | 36% |
| Donchian 채널 돌파 entryN=51, exitN=11 |
8.3% | -19.0% | 0.49 | 0.43 | 1.6x | 20 | 19% |
| ROC 모멘텀 n=115, threshold=-0.03 |
9.0% | -30.2% | 0.47 | 0.30 | 1.7x | 43 | 49% |
| Buy and hold | 3.5% | -59.6% | 0.27 | 0.06 | 1.2x | 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 24-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 24-day middle average