Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC Hang Seng TECH Index ETF HKD backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC Hang Seng TECH Index ETF HKD. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -19.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.2%, drawdown -74.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.4%, MDD -19.2%, Sharpe 0.39, 2% exposure.
CAGR reference leader: Supertrend — CAGR 5.7%, MDD -45.8%, exposure 44%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR 3.4%, MDD -19.2%, exposure 2%).
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=24, k=3.3 |
3.4% | -19.2% | 0.39 | 0.17 | 1.2x | 2 | 2% |
| Supertrend period=46, mult=3.3 |
5.7% | -45.8% | 0.35 | 0.12 | 1.4x | 33 | 44% |
| MACD fast=19, slow=51, signal=14 |
3.2% | -58.0% | 0.25 | 0.06 | 1.2x | 48 | 48% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=18, mult=3.5 |
2.2% | -20.1% | 0.24 | 0.11 | 1.1x | 10 | 7% |
| Donchian 채널 돌파 entryN=22, exitN=11 |
2.4% | -29.0% | 0.22 | 0.08 | 1.2x | 36 | 31% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.0% | -52.8% | 0.17 | 0.02 | 1.1x | 44 | 49% |
| EMA 크로스오버 fast=6, slow=215 |
1.0% | -28.1% | 0.15 | 0.04 | 1.1x | 12 | 29% |
| SMA 크로스오버 fast=23, slow=53 |
-0.4% | -39.4% | 0.11 | -0.01 | 1.0x | 29 | 41% |
| ROC 모멘텀 n=31, threshold=-0.01 |
-3.4% | -51.8% | -0.01 | -0.06 | 0.8x | 110 | 48% |
| ADX / DI 방향성 period=12, threshold=18 |
-7.3% | -55.0% | -0.25 | -0.13 | 0.6x | 90 | 29% |
| Buy and hold | -8.2% | -74.4% | -0.03 | -0.11 | 0.6x | 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 24-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 24-day middle average