Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC Hang Seng Biotech ETF HKD Counter backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC Hang Seng Biotech ETF HKD Counter. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -8.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.7%, drawdown -75.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.1%, MDD -33.9%, Sharpe 0.56, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 3.8%, MDD -8.4%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=34 |
11.1% | -33.9% | 0.56 | 0.33 | 1.8x | 21 | 38% |
| ADX / DI 방향성 period=21, threshold=27 |
3.8% | -8.4% | 0.56 | 0.45 | 1.2x | 2 | 4% |
| SMA 크로스오버 fast=12, slow=34 |
10.7% | -40.8% | 0.53 | 0.26 | 1.7x | 37 | 42% |
| Donchian 채널 돌파 entryN=82, exitN=72 |
8.2% | -28.7% | 0.48 | 0.29 | 1.5x | 5 | 27% |
| ROC 모멘텀 n=139, threshold=-0.03 |
7.8% | -34.4% | 0.44 | 0.23 | 1.5x | 23 | 38% |
| Supertrend period=17, mult=2.8 |
8.0% | -34.8% | 0.42 | 0.23 | 1.5x | 43 | 46% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=2.3 |
5.1% | -25.7% | 0.35 | 0.20 | 1.3x | 17 | 26% |
| 볼린저 밴드 돌파 n=39, k=2.5 |
3.8% | -28.8% | 0.29 | 0.13 | 1.2x | 14 | 19% |
| MACD fast=9, slow=73, signal=18 |
-3.5% | -57.9% | 0.02 | -0.06 | 0.8x | 61 | 46% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-5.8% | -58.9% | -0.08 | -0.10 | 0.7x | 117 | 46% |
| Buy and hold | -7.7% | -75.2% | -0.00 | -0.10 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 34-day EMA
- Sell — Sell when the 19-day EMA falls below the 34-day EMA