Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hang Seng TECH Index ETF backtest
10 trend-following strategies were compared on the full daily history of CSOP Hang Seng TECH Index ETF. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.9%, MDD -20.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.2%, drawdown -74.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.9%, MDD -20.9%, Sharpe 0.30, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.0%, MDD -28.8%, exposure 37%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 53.8%p (CAGR 2.9%, MDD -20.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=3.2 |
2.9% | -20.9% | 0.30 | 0.14 | 1.2x | 6 | 4% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
3.7% | -26.0% | 0.30 | 0.14 | 1.2x | 16 | 20% |
| Donchian 채널 돌파 entryN=22, exitN=15 |
4.0% | -28.8% | 0.29 | 0.14 | 1.3x | 30 | 37% |
| ROC 모멘텀 n=20, threshold=0.08 |
2.8% | -29.1% | 0.25 | 0.10 | 1.2x | 90 | 16% |
| MACD fast=14, slow=57, signal=18 |
2.7% | -55.9% | 0.23 | 0.05 | 1.2x | 50 | 47% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.6% | -53.9% | 0.23 | 0.05 | 1.2x | 42 | 46% |
| Supertrend period=25, mult=2.9 |
1.8% | -47.5% | 0.20 | 0.04 | 1.1x | 43 | 45% |
| ADX / DI 방향성 period=28, threshold=33 |
1.1% | -21.8% | 0.18 | 0.05 | 1.1x | 2 | 5% |
| SMA 크로스오버 fast=31, slow=45 |
0.2% | -42.9% | 0.14 | 0.00 | 1.0x | 37 | 44% |
| EMA 크로스오버 fast=32, slow=83 |
-0.3% | -48.9% | 0.10 | -0.01 | 1.0x | 12 | 35% |
| Buy and hold | -8.2% | -74.7% | -0.03 | -0.11 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 16-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average