Trend-Following Backtester · Guide · backtest 한국어
etf · CN
ChinaAMC State Securities Semiconductor Chip Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC State Securities Semiconductor Chip Exchange Traded Fund Units. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.3%, MDD -26.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.3%, drawdown -69.4%).
Sharpe leader (same as main): MACD — CAGR 18.1%, MDD -29.4%, Sharpe 0.77, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 11.3%, MDD -26.4%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=46, signal=6 |
18.1% | -29.4% | 0.77 | 0.62 | 3.0x | 103 | 48% |
| Parabolic SAR step=0.015, maxStep=0.1 |
17.6% | -30.9% | 0.74 | 0.57 | 2.9x | 97 | 48% |
| Donchian 채널 돌파 entryN=11, exitN=3 |
11.3% | -26.4% | 0.60 | 0.43 | 2.0x | 88 | 27% |
| Supertrend period=28, mult=1.9 |
12.1% | -31.0% | 0.59 | 0.39 | 2.1x | 76 | 41% |
| 볼린저 밴드 돌파 n=12, k=1.2 |
11.6% | -33.1% | 0.57 | 0.35 | 2.1x | 116 | 35% |
| ROC 모멘텀 n=160, threshold=0.04 |
7.8% | -55.9% | 0.43 | 0.14 | 1.6x | 26 | 42% |
| ADX / DI 방향성 period=19, threshold=19 |
5.6% | -55.9% | 0.37 | 0.10 | 1.4x | 44 | 27% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=9, mult=2.8 |
4.7% | -55.9% | 0.34 | 0.08 | 1.4x | 20 | 22% |
| EMA 크로스오버 fast=5, slow=184 |
3.4% | -56.0% | 0.30 | 0.06 | 1.2x | 20 | 44% |
| SMA 크로스오버 fast=34, slow=315 |
2.4% | -69.4% | 0.27 | 0.03 | 1.2x | 6 | 41% |
| Buy and hold | 2.3% | -69.4% | 0.29 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/46) crosses above its 6-day signal line
- Sell — Sell when the MACD line crosses back below the signal line