Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China Securities Animation Game ETF backtest
10 trend-following strategies were compared on the full daily history of China Securities Animation Game 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 15.0%, MDD -16.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.6%, drawdown -57.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.0%, MDD -16.1%, Sharpe 0.91, 12% exposure.
CAGR reference leader: Supertrend — CAGR 17.7%, MDD -30.2%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 15.0%, MDD -16.1%, exposure 12%).
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=14, k=2.6 |
15.0% | -16.1% | 0.91 | 0.93 | 2.2x | 18 | 12% |
| Supertrend period=31, mult=1.7 |
17.7% | -30.2% | 0.77 | 0.58 | 2.5x | 74 | 50% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=13, mult=2.3 |
15.0% | -19.9% | 0.72 | 0.75 | 2.2x | 18 | 31% |
| ROC 모멘텀 n=52, threshold=0.09 |
14.6% | -27.6% | 0.71 | 0.53 | 2.1x | 44 | 29% |
| EMA 크로스오버 fast=36, slow=93 |
14.4% | -30.6% | 0.67 | 0.47 | 2.1x | 6 | 42% |
| ADX / DI 방향성 period=19, threshold=24 |
11.4% | -25.2% | 0.63 | 0.45 | 1.8x | 22 | 25% |
| Donchian 채널 돌파 entryN=85, exitN=58 |
12.9% | -27.2% | 0.63 | 0.47 | 2.0x | 6 | 33% |
| SMA 크로스오버 fast=12, slow=155 |
12.9% | -32.9% | 0.62 | 0.39 | 2.0x | 10 | 42% |
| MACD fast=14, slow=41, signal=9 |
6.9% | -54.1% | 0.39 | 0.13 | 1.4x | 74 | 52% |
| Parabolic SAR step=0.025, maxStep=0.24 |
4.6% | -45.4% | 0.31 | 0.10 | 1.3x | 136 | 50% |
| Buy and hold | 0.6% | -57.7% | 0.20 | 0.01 | 1.0x | 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 14-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 14-day middle average