Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC NASDAQ 100 ETF HKD backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC NASDAQ 100 ETF HKD. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.2%, MDD -18.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.7%, drawdown -35.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.2%, MDD -18.6%, Sharpe 1.14, 78% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 18.2%, MDD -18.6%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=4, slow=167 |
18.2% | -18.6% | 1.14 | 0.98 | 5.9x | 19 | 78% |
| EMA 크로스오버 fast=5, slow=160 |
17.1% | -20.0% | 1.07 | 0.86 | 5.4x | 21 | 79% |
| Donchian 채널 돌파 entryN=17, exitN=79 |
16.2% | -42.4% | 0.96 | 0.38 | 4.9x | 21 | 89% |
| ROC 모멘텀 n=90, threshold=-0.01 |
14.6% | -24.0% | 0.93 | 0.61 | 4.3x | 49 | 81% |
| Supertrend period=19, mult=5 |
11.3% | -25.9% | 0.87 | 0.44 | 3.1x | 63 | 68% |
| Parabolic SAR step=0.03, maxStep=0.04 |
10.5% | -28.9% | 0.81 | 0.36 | 2.9x | 99 | 69% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=2 |
8.1% | -15.3% | 0.73 | 0.52 | 2.3x | 95 | 55% |
| 볼린저 밴드 돌파 n=44, k=1.4 |
6.4% | -29.6% | 0.57 | 0.21 | 1.9x | 69 | 57% |
| ADX / DI 방향성 period=29, threshold=4 |
5.7% | -23.6% | 0.47 | 0.24 | 1.8x | 141 | 69% |
| MACD fast=15, slow=54, signal=11 |
2.6% | -31.1% | 0.27 | 0.08 | 1.3x | 153 | 52% |
| Buy and hold | 20.7% | -35.3% | 0.98 | 0.59 | 7.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 4-day average price crosses above the 167-day average
- Sell — Sell (to cash) when the 4-day average falls below the 167-day average