Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Hwabao WP CSI Fintech Theme ETF backtest
10 trend-following strategies were compared on the full daily history of Hwabao WP CSI Fintech Theme ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.3%, MDD -8.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.5%, drawdown -67.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.9%, MDD -8.9%, Sharpe 0.82, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 10.3%, MDD -13.0%, exposure 3%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 58.4%p (CAGR 9.3%, MDD -8.9%, exposure 2%).
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 n=5, threshold=0.14 |
7.9% | -8.9% | 0.82 | 0.89 | 1.5x | 10 | 1% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
10.3% | -13.0% | 0.80 | 0.79 | 1.7x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=3.3 |
9.3% | -8.9% | 0.77 | 1.04 | 1.6x | 2 | 2% |
| ADX / DI 방향성 period=29, threshold=32 |
3.1% | -13.0% | 0.43 | 0.24 | 1.2x | 2 | 2% |
| Donchian 채널 돌파 entryN=83, exitN=74 |
0.1% | -51.5% | 0.21 | 0.00 | 1.0x | 4 | 26% |
| SMA 크로스오버 fast=59, slow=166 |
1.8% | -24.2% | 0.19 | 0.07 | 1.1x | 8 | 31% |
| MACD fast=5, slow=33, signal=14 |
-3.5% | -61.5% | 0.10 | -0.06 | 0.8x | 92 | 47% |
| Supertrend period=10, mult=2.7 |
-5.9% | -62.0% | 0.03 | -0.10 | 0.7x | 44 | 49% |
| EMA 크로스오버 fast=42, slow=154 |
-5.7% | -51.9% | 0.01 | -0.11 | 0.7x | 6 | 36% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-12.1% | -63.4% | -0.19 | -0.19 | 0.5x | 96 | 49% |
| Buy and hold | -9.5% | -67.3% | -0.01 | -0.14 | 0.6x | 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 5-day return is greater than 14%
- Sell — Sell when the 5-day return drops to 14% or below