Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hong Kong Dollar Money Market ETF backtest
10 trend-following strategies were compared on the full daily history of CSOP Hong Kong Dollar Money Market ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.1%, drawdown -0.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.0%, MDD -1.1%, Sharpe 2.74, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% entryN=11, exitN=61 |
2.0% | -1.1% | 2.74 | 1.81 | 1.2x | 3 | 99% |
| EMA 크로스오버 fast=48, slow=49 |
1.9% | -1.1% | 2.71 | 1.79 | 1.2x | 3 | 94% |
| ADX / DI 방향성 period=66, threshold=19 |
1.9% | -1.0% | 2.63 | 1.89 | 1.2x | 3 | 86% |
| SMA 크로스오버 fast=15, slow=127 |
1.9% | -1.1% | 2.62 | 1.73 | 1.2x | 3 | 90% |
| 볼린저 밴드 돌파 n=42, k=2.2 |
1.7% | -2.1% | 2.32 | 0.84 | 1.1x | 5 | 80% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=3.8 |
1.7% | -3.2% | 2.07 | 0.51 | 1.1x | 7 | 89% |
| ROC 모멘텀 n=140, threshold=0 |
1.3% | -5.0% | 1.54 | 0.27 | 1.1x | 11 | 89% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.0% | -4.2% | 1.09 | 0.24 | 1.1x | 17 | 88% |
| Supertrend period=13, mult=4.2 |
0.6% | -10.7% | 0.60 | 0.06 | 1.1x | 23 | 87% |
| MACD fast=31, slow=67, signal=18 |
-4.0% | -28.2% | -2.51 | -0.14 | 0.7x | 79 | 54% |
| Buy and hold | 2.1% | -0.5% | 3.11 | 4.24 | 1.2x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 61 days