Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E Fund ChiNext ETF backtest
10 trend-following strategies were compared on the full daily history of E Fund ChiNext ETF. 8 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 13.0%, MDD -25.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.5%, drawdown -69.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.0%, MDD -25.5%, Sharpe 0.78, 22% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 15.3%, MDD -57.5%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 13.0%, MDD -25.5%, exposure 22%).
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=27, k=2.3 |
13.0% | -25.5% | 0.78 | 0.51 | 6.2x | 54 | 22% |
| ROC 모멘텀 n=167, threshold=-0.04 |
15.3% | -57.5% | 0.67 | 0.27 | 8.3x | 67 | 60% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=12, mult=2.5 |
10.5% | -25.5% | 0.65 | 0.41 | 4.4x | 52 | 21% |
| Donchian 채널 돌파 entryN=83, exitN=34 |
11.7% | -37.7% | 0.64 | 0.31 | 5.2x | 26 | 35% |
| EMA 크로스오버 fast=92, slow=222 |
13.6% | -56.9% | 0.64 | 0.24 | 6.7x | 5 | 52% |
| SMA 크로스오버 fast=38, slow=337 |
12.5% | -56.9% | 0.60 | 0.22 | 5.8x | 7 | 50% |
| MACD fast=19, slow=58, signal=19 |
10.8% | -58.7% | 0.58 | 0.18 | 4.6x | 140 | 50% |
| Supertrend period=13, mult=3.4 |
10.4% | -40.8% | 0.56 | 0.25 | 4.4x | 80 | 52% |
| ADX / DI 방향성 period=19, threshold=30 |
5.5% | -20.9% | 0.50 | 0.26 | 2.2x | 34 | 11% |
| Parabolic SAR step=0.01, maxStep=0.38 |
4.8% | -61.5% | 0.32 | 0.08 | 2.0x | 208 | 52% |
| Buy and hold | 9.5% | -69.6% | 0.45 | 0.14 | 3.8x | 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 27-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 27-day middle average