Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Global X China Electric Vehicle and Battery ETF HKD Counter backtest
10 trend-following strategies were compared on the full daily history of Global X China Electric Vehicle and Battery ETF HKD Counter. 8 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 22.1%, MDD -18.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.1%, drawdown -67.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.1%, MDD -18.1%, Sharpe 0.98, 28% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 22.1%, MDD -18.1%, exposure 28%).
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=36, k=2.3 |
22.1% | -18.1% | 0.98 | 1.22 | 3.7x | 22 | 28% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=10, mult=3.3 |
21.5% | -18.1% | 0.97 | 1.19 | 3.6x | 30 | 25% |
| Donchian 채널 돌파 entryN=40, exitN=16 |
19.3% | -26.0% | 0.87 | 0.74 | 3.2x | 26 | 30% |
| EMA 크로스오버 fast=13, slow=18 |
20.0% | -41.9% | 0.81 | 0.48 | 3.3x | 58 | 47% |
| ROC 모멘텀 n=34, threshold=0.05 |
17.7% | -22.0% | 0.79 | 0.80 | 2.9x | 52 | 33% |
| SMA 크로스오버 fast=16, slow=42 |
18.4% | -30.2% | 0.78 | 0.61 | 3.0x | 34 | 44% |
| Supertrend period=6, mult=3.8 |
17.5% | -45.9% | 0.72 | 0.38 | 2.9x | 77 | 48% |
| MACD fast=16, slow=33, signal=11 |
12.7% | -61.4% | 0.58 | 0.21 | 2.2x | 77 | 47% |
| ADX / DI 방향성 period=22, threshold=11 |
9.0% | -45.0% | 0.47 | 0.20 | 1.8x | 73 | 38% |
| Parabolic SAR step=0.03, maxStep=0.18 |
7.8% | -57.0% | 0.41 | 0.14 | 1.6x | 133 | 53% |
| Buy and hold | 11.1% | -67.9% | 0.47 | 0.16 | 2.0x | 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 36-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 36-day middle average