Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Ping An of China CSI HK Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of Ping An of China CSI HK Dividend ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.7%, MDD -31.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -43.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.8%, MDD -7.2%, Sharpe 0.53, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.3%, MDD -43.0%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 35.7%p (CAGR 4.7%, MDD -31.7%, exposure 60%).
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=32, k=3.2 |
1.8% | -7.2% | 0.53 | 0.24 | 1.3x | 6 | 7% |
| SMA 크로스오버 fast=52, slow=120 |
4.7% | -31.7% | 0.42 | 0.15 | 2.0x | 26 | 60% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
5.3% | -43.0% | 0.38 | 0.12 | 2.1x | 3 | 100% |
| EMA 크로스오버 fast=39, slow=105 |
3.7% | -32.0% | 0.35 | 0.12 | 1.7x | 26 | 57% |
| Donchian 채널 돌파 entryN=89, exitN=50 |
2.3% | -24.9% | 0.26 | 0.09 | 1.4x | 24 | 45% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=29, mult=3.6 |
0.6% | -37.8% | 0.11 | 0.02 | 1.1x | 61 | 35% |
| Supertrend period=27, mult=4.5 |
-0.8% | -41.5% | 0.00 | -0.02 | 0.9x | 111 | 59% |
| MACD fast=24, slow=54, signal=11 |
-1.1% | -57.4% | -0.03 | -0.02 | 0.9x | 167 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.1% | -57.6% | -0.11 | -0.04 | 0.7x | 113 | 55% |
| ADX / DI 방향성 period=30, threshold=12 |
-1.7% | -33.8% | -0.12 | -0.05 | 0.8x | 133 | 39% |
| Buy and hold | 5.5% | -43.0% | 0.40 | 0.13 | 2.2x | 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 32-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 32-day middle average