Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Wells Fargo China Securities Hong Kong Stock Connect Internet ETF backtest
10 trend-following strategies were compared on the full daily history of Wells Fargo China Securities Hong Kong Stock Connect Internet ETF. 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 8.2%, MDD -11.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.7%, drawdown -59.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.2%, MDD -11.1%, Sharpe 0.71, 7% exposure.
CAGR reference leader: MACD — CAGR 13.9%, MDD -24.5%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.0%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 8.2%, MDD -11.1%, exposure 7%).
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=31, k=2.9 |
8.2% | -11.1% | 0.71 | 0.75 | 1.5x | 6 | 7% |
| ROC 모멘텀 n=146, threshold=0.11 |
10.7% | -24.0% | 0.69 | 0.45 | 1.7x | 26 | 25% |
| MACD fast=14, slow=49, signal=19 |
13.9% | -24.5% | 0.67 | 0.57 | 1.9x | 36 | 45% |
| Supertrend period=27, mult=2.9 |
10.2% | -30.6% | 0.55 | 0.33 | 1.6x | 28 | 39% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=25, mult=2.6 |
7.6% | -18.3% | 0.52 | 0.42 | 1.4x | 14 | 20% |
| Donchian 채널 돌파 entryN=19, exitN=11 |
8.1% | -24.7% | 0.48 | 0.33 | 1.5x | 28 | 35% |
| SMA 크로스오버 fast=8, slow=33 |
8.3% | -30.1% | 0.48 | 0.28 | 1.5x | 32 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.5% | -32.8% | 0.46 | 0.26 | 1.5x | 40 | 50% |
| EMA 크로스오버 fast=10, slow=27 |
7.1% | -34.0% | 0.43 | 0.21 | 1.4x | 34 | 42% |
| ADX / DI 방향성 period=17, threshold=14 |
3.8% | -26.3% | 0.29 | 0.15 | 1.2x | 56 | 38% |
| Buy and hold | -11.7% | -59.7% | -0.18 | -0.20 | 0.5x | 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 31-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 31-day middle average