Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Harvest CSI Software & Services Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of Harvest CSI Software & Services 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 8.4%, MDD -11.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.8%, drawdown -61.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -11.7%, Sharpe 0.70, 5% exposure.
CAGR reference leader: Supertrend — CAGR 12.1%, MDD -21.8%, exposure 37%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.2%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 8.4%, MDD -11.7%, 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=15, k=2.7 |
8.4% | -11.7% | 0.70 | 0.72 | 1.6x | 10 | 5% |
| Supertrend period=28, mult=2.5 |
12.1% | -21.8% | 0.64 | 0.55 | 1.9x | 42 | 37% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=16, mult=2.2 |
10.4% | -21.1% | 0.62 | 0.49 | 1.8x | 18 | 21% |
| ROC 모멘텀 n=11, threshold=0.13 |
6.2% | -18.1% | 0.54 | 0.35 | 1.4x | 28 | 5% |
| Donchian 채널 돌파 entryN=22, exitN=1 |
6.6% | -24.2% | 0.51 | 0.27 | 1.4x | 64 | 12% |
| Parabolic SAR step=0.01, maxStep=0.12 |
8.4% | -29.0% | 0.48 | 0.29 | 1.6x | 66 | 42% |
| ADX / DI 방향성 period=21, threshold=18 |
7.7% | -25.9% | 0.47 | 0.30 | 1.5x | 38 | 28% |
| EMA 크로스오버 fast=12, slow=16 |
5.8% | -30.0% | 0.37 | 0.19 | 1.4x | 48 | 41% |
| SMA 크로스오버 fast=13, slow=35 |
4.5% | -36.9% | 0.31 | 0.12 | 1.3x | 32 | 40% |
| MACD fast=19, slow=27, signal=24 |
3.2% | -49.2% | 0.26 | 0.07 | 1.2x | 56 | 44% |
| Buy and hold | -7.8% | -61.1% | -0.08 | -0.13 | 0.6x | 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 15-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 15-day middle average