Trend-Following Backtester · Guide · backtest 한국어
etf · CN
CCB Yisheng Zhengshang Energy & Chemical ETF backtest
10 trend-following strategies were compared on the full daily history of CCB Yisheng Zhengshang Energy & Chemical ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 7.5%, MDD -37.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.1%, drawdown -48.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -42.1%, Sharpe 0.56, 54% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 6.2%p (CAGR 7.5%, MDD -37.8%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=33 |
9.2% | -42.1% | 0.56 | 0.22 | 1.8x | 51 | 54% |
| Donchian 채널 돌파 entryN=116, exitN=47 |
8.9% | -41.9% | 0.55 | 0.21 | 1.8x | 8 | 50% |
| 볼린저 밴드 돌파 n=36, k=1.5 |
8.2% | -37.9% | 0.54 | 0.22 | 1.7x | 40 | 39% |
| EMA 크로스오버 fast=41, slow=107 |
8.1% | -42.9% | 0.50 | 0.19 | 1.7x | 8 | 55% |
| Parabolic SAR step=0.005, maxStep=0.22 |
7.5% | -37.8% | 0.49 | 0.20 | 1.6x | 49 | 49% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=2.4 |
6.9% | -44.0% | 0.47 | 0.16 | 1.6x | 28 | 35% |
| Supertrend period=15, mult=3.1 |
5.9% | -44.0% | 0.41 | 0.13 | 1.5x | 49 | 49% |
| ROC 모멘텀 n=69, threshold=0.1 |
5.2% | -42.3% | 0.39 | 0.12 | 1.4x | 24 | 23% |
| ADX / DI 방향성 period=30, threshold=19 |
4.4% | -43.7% | 0.37 | 0.10 | 1.3x | 12 | 19% |
| MACD fast=12, slow=46, signal=18 |
2.6% | -44.4% | 0.24 | 0.06 | 1.2x | 79 | 50% |
| Buy and hold | 6.1% | -48.4% | 0.37 | 0.13 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 21-day average price crosses above the 33-day average
- Sell — Sell (to cash) when the 21-day average falls below the 33-day average