Trend-Following Backtester · Guide · backtest 한국어
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CSI Consumer Staples ETF backtest
10 trend-following strategies were compared on the full daily history of CSI Consumer Staples ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -15.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.2%, drawdown -78.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.3%, MDD -31.7%, Sharpe 0.65, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.3%, MDD -42.8%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 4.6%, MDD -15.8%, exposure 11%).
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=48, k=1.2 |
9.3% | -31.7% | 0.65 | 0.29 | 3.2x | 68 | 44% |
| SMA 크로스오버 fast=30, slow=63 |
10.3% | -42.8% | 0.63 | 0.24 | 3.6x | 45 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=0.6 |
8.8% | -36.2% | 0.60 | 0.24 | 3.0x | 96 | 49% |
| MACD fast=21, slow=71, signal=28 |
8.9% | -35.2% | 0.59 | 0.25 | 3.1x | 78 | 51% |
| Donchian 채널 돌파 entryN=108, exitN=33 |
7.8% | -45.3% | 0.59 | 0.17 | 2.7x | 18 | 37% |
| Supertrend period=29, mult=4.5 |
8.3% | -39.5% | 0.58 | 0.21 | 2.9x | 39 | 56% |
| ADX / DI 방향성 period=21, threshold=31 |
4.6% | -15.8% | 0.56 | 0.29 | 1.8x | 16 | 11% |
| EMA 크로스오버 fast=15, slow=27 |
7.1% | -32.1% | 0.49 | 0.22 | 2.5x | 66 | 53% |
| ROC 모멘텀 n=111, threshold=0.13 |
5.1% | -38.8% | 0.41 | 0.13 | 1.9x | 64 | 25% |
| Parabolic SAR step=0.02, maxStep=0.14 |
0.5% | -51.8% | 0.12 | 0.01 | 1.1x | 244 | 50% |
| Buy and hold | -3.2% | -78.1% | 0.15 | -0.04 | 0.7x | 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 48-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 48-day middle average