Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Harvest SZSE SME-CHINEXT 300 Transactional Open-End Index Fund backtest
10 trend-following strategies were compared on the full daily history of Harvest SZSE SME-CHINEXT 300 Transactional Open-End Index Fund. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.3%, MDD -17.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.8%, drawdown -45.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.5%, MDD -19.8%, Sharpe 0.54, 22% exposure.
CAGR reference leader: Supertrend — CAGR 5.7%, MDD -30.2%, exposure 44%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 25.9%p (CAGR 5.3%, MDD -17.3%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=26, mult=3 |
5.5% | -19.8% | 0.54 | 0.27 | 2.1x | 42 | 22% |
| Donchian 채널 돌파 entryN=93, exitN=17 |
5.3% | -17.3% | 0.53 | 0.31 | 2.1x | 36 | 24% |
| Supertrend period=28, mult=4.9 |
5.7% | -30.2% | 0.48 | 0.19 | 2.2x | 42 | 44% |
| 볼린저 밴드 돌파 n=32, k=2 |
5.1% | -19.6% | 0.48 | 0.26 | 2.0x | 76 | 31% |
| ROC 모멘텀 n=24, threshold=0.13 |
2.5% | -14.2% | 0.37 | 0.18 | 1.4x | 40 | 4% |
| SMA 크로스오버 fast=32, slow=171 |
4.5% | -35.1% | 0.36 | 0.13 | 1.9x | 22 | 54% |
| ADX / DI 방향성 period=31, threshold=25 |
2.6% | -28.1% | 0.34 | 0.09 | 1.4x | 28 | 13% |
| EMA 크로스오버 fast=59, slow=102 |
3.9% | -37.4% | 0.32 | 0.10 | 1.7x | 22 | 55% |
| MACD fast=12, slow=54, signal=19 |
0.8% | -52.8% | 0.13 | 0.02 | 1.1x | 160 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.8% | -55.8% | -0.04 | -0.03 | 0.8x | 232 | 53% |
| Buy and hold | 4.8% | -45.8% | 0.33 | 0.10 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average