Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E Fund SSE Science and Technology Innovation Board 50 Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of E Fund SSE Science and Technology Innovation Board 50 Exchange Traded Fund. 10 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 14.8%, MDD -18.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.1%, drawdown -60.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.8%, MDD -18.2%, Sharpe 0.76, 26% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 14.8%, MDD -18.2%, exposure 26%).
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=23, k=1.8 |
14.8% | -18.2% | 0.76 | 0.81 | 2.3x | 32 | 26% |
| ADX / DI 방향성 period=9, threshold=31 |
14.7% | -19.0% | 0.75 | 0.77 | 2.3x | 46 | 23% |
| MACD fast=17, slow=45, signal=11 |
14.5% | -40.2% | 0.70 | 0.36 | 2.2x | 62 | 45% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=9, mult=1.7 |
11.9% | -22.8% | 0.64 | 0.52 | 1.9x | 30 | 25% |
| Supertrend period=29, mult=2.4 |
11.4% | -24.8% | 0.60 | 0.46 | 1.9x | 50 | 45% |
| EMA 크로스오버 fast=18, slow=332 |
10.3% | -30.2% | 0.58 | 0.34 | 1.8x | 3 | 33% |
| SMA 크로스오버 fast=14, slow=257 |
8.6% | -30.2% | 0.50 | 0.28 | 1.6x | 5 | 37% |
| Parabolic SAR step=0.01, maxStep=0.28 |
9.1% | -37.4% | 0.49 | 0.24 | 1.7x | 80 | 45% |
| ROC 모멘텀 n=133, threshold=-0.08 |
8.2% | -40.7% | 0.44 | 0.20 | 1.6x | 21 | 56% |
| Donchian 채널 돌파 entryN=20, exitN=27 |
5.6% | -29.1% | 0.35 | 0.19 | 1.4x | 28 | 49% |
| Buy and hold | 3.1% | -60.0% | 0.26 | 0.05 | 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 23-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 23-day middle average