Trend-Following Backtester · Guide · backtest 한국어
etf · HK
iShares Hang Seng TECH ETF HKD Counter backtest
10 trend-following strategies were compared on the full daily history of iShares Hang Seng TECH ETF HKD Counter. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.6%, MDD -18.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.0%, drawdown -74.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.9%, MDD -27.9%, Sharpe 0.60, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 2.6%, MDD -18.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=155, threshold=0.18 |
8.9% | -27.9% | 0.60 | 0.32 | 1.7x | 30 | 16% |
| Donchian 채널 돌파 entryN=45, exitN=6 |
4.8% | -27.7% | 0.38 | 0.17 | 1.3x | 22 | 13% |
| 볼린저 밴드 돌파 n=43, k=2.4 |
3.9% | -31.4% | 0.31 | 0.12 | 1.3x | 16 | 20% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.5% | -52.1% | 0.30 | 0.09 | 1.3x | 44 | 48% |
| MACD fast=15, slow=54, signal=17 |
3.8% | -56.5% | 0.28 | 0.07 | 1.3x | 50 | 47% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=26, mult=3.2 |
2.6% | -18.4% | 0.27 | 0.14 | 1.2x | 10 | 6% |
| Supertrend period=18, mult=4.4 |
0.3% | -39.7% | 0.14 | 0.01 | 1.0x | 19 | 37% |
| SMA 크로스오버 fast=22, slow=190 |
-1.4% | -36.9% | 0.04 | -0.04 | 0.9x | 12 | 34% |
| ADX / DI 방향성 period=22, threshold=13 |
-1.5% | -37.2% | 0.03 | -0.04 | 0.9x | 54 | 29% |
| EMA 크로스오버 fast=15, slow=23 |
-2.1% | -40.5% | 0.03 | -0.05 | 0.9x | 42 | 43% |
| Buy and hold | -7.0% | -74.5% | -0.00 | -0.09 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 155-day return is greater than 18%
- Sell — Sell when the 155-day return drops to 18% or below