Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Huaan ChiNext 50 ETF Units backtest
10 trend-following strategies were compared on the full daily history of Huaan ChiNext 50 ETF Units. 9 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 13.5%, MDD -25.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.8%, drawdown -59.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.5%, MDD -25.4%, Sharpe 0.79, 21% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.5%, MDD -34.9%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 13.5%, MDD -25.4%, exposure 21%).
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=33, k=2.4 |
13.5% | -25.4% | 0.79 | 0.53 | 3.6x | 28 | 21% |
| SMA 크로스오버 fast=28, slow=279 |
13.9% | -30.5% | 0.72 | 0.46 | 3.8x | 5 | 45% |
| ROC 모멘텀 n=187, threshold=0.01 |
14.5% | -34.9% | 0.70 | 0.41 | 4.0x | 19 | 47% |
| EMA 크로스오버 fast=51, slow=201 |
12.5% | -35.1% | 0.66 | 0.36 | 3.3x | 5 | 44% |
| ADX / DI 방향성 period=8, threshold=34 |
9.7% | -25.4% | 0.61 | 0.38 | 2.6x | 90 | 21% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=2.9 |
7.7% | -25.4% | 0.60 | 0.30 | 2.1x | 12 | 6% |
| Donchian 채널 돌파 entryN=105, exitN=55 |
10.8% | -35.3% | 0.58 | 0.31 | 2.8x | 8 | 35% |
| Supertrend period=12, mult=3.4 |
8.1% | -29.4% | 0.46 | 0.27 | 2.2x | 54 | 50% |
| MACD fast=16, slow=56, signal=14 |
4.8% | -48.5% | 0.32 | 0.10 | 1.6x | 116 | 50% |
| Parabolic SAR step=0.005, maxStep=0.42 |
2.5% | -43.9% | 0.22 | 0.06 | 1.3x | 89 | 49% |
| Buy and hold | 4.8% | -59.0% | 0.31 | 0.08 | 1.6x | 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 33-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 33-day middle average