Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China Feed Soybean Meal Futures Trading Open-end Securities Investment Fund ETF backtest
10 trend-following strategies were compared on the full daily history of China Feed Soybean Meal Futures Trading Open-end Securities Investment Fund ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.6%, MDD -18.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.3%, drawdown -26.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -18.4%, Sharpe 0.82, 83% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 8.2%p (CAGR 13.6%, MDD -18.4%, exposure 83%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=54 |
13.6% | -18.4% | 0.82 | 0.74 | 2.4x | 15 | 83% |
| MACD fast=23, slow=46, signal=18 |
9.8% | -18.2% | 0.72 | 0.54 | 1.9x | 51 | 50% |
| ROC 모멘텀 n=36, threshold=-0.09 |
11.9% | -20.7% | 0.71 | 0.58 | 2.2x | 25 | 91% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=14, mult=3.8 |
4.2% | -10.3% | 0.66 | 0.41 | 1.3x | 6 | 7% |
| SMA 크로스오버 fast=35, slow=60 |
8.3% | -23.0% | 0.62 | 0.36 | 1.7x | 31 | 56% |
| ADX / DI 방향성 period=26, threshold=15 |
6.9% | -23.9% | 0.55 | 0.29 | 1.6x | 44 | 43% |
| 볼린저 밴드 돌파 n=42, k=2.1 |
6.5% | -20.2% | 0.54 | 0.32 | 1.5x | 30 | 36% |
| EMA 크로스오버 fast=23, slow=118 |
6.7% | -29.0% | 0.49 | 0.23 | 1.6x | 21 | 67% |
| Supertrend period=23, mult=4.5 |
5.7% | -24.1% | 0.44 | 0.24 | 1.5x | 31 | 63% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.7% | -21.7% | 0.39 | 0.22 | 1.4x | 50 | 53% |
| Buy and hold | 11.3% | -26.6% | 0.67 | 0.42 | 2.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 54 days