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 5.7%, drawdown -43.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -7.2%, Sharpe 0.53, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.4%, 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 4.0%p lower than buy and hold, while drawdown improves by 35.7%p (CAGR 4.7%, MDD -31.7%, exposure 59%).
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 |
1.7% | -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 | 59% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
5.4% | -43.0% | 0.39 | 0.13 | 2.2x | 3 | 100% |
| EMA 크로스오버 fast=39, slow=105 |
4.0% | -32.0% | 0.37 | 0.13 | 1.8x | 27 | 57% |
| Donchian 채널 돌파 entryN=89, exitN=50 |
2.2% | -24.9% | 0.26 | 0.09 | 1.4x | 24 | 45% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=29, mult=3.6 |
0.3% | -37.8% | 0.08 | 0.01 | 1.0x | 62 | 35% |
| Supertrend period=27, mult=4.5 |
-0.6% | -41.5% | 0.02 | -0.01 | 0.9x | 111 | 59% |
| MACD fast=24, slow=54, signal=11 |
-0.9% | -57.4% | -0.02 | -0.02 | 0.9x | 167 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.9% | -57.6% | -0.09 | -0.03 | 0.8x | 113 | 55% |
| ADX / DI 방향성 period=30, threshold=12 |
-2.0% | -33.8% | -0.15 | -0.06 | 0.7x | 139 | 39% |
| Buy and hold | 5.7% | -43.0% | 0.41 | 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