Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP USD Money Market ETF HKD backtest
10 trend-following strategies were compared on the full daily history of CSOP USD Money Market ETF HKD. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.8%, drawdown -1.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.5%, MDD -1.4%, Sharpe 1.83, 86% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=47, slow=236 |
2.5% | -1.4% | 1.83 | 1.77 | 1.2x | 3 | 86% |
| Donchian 채널 돌파 entryN=35, exitN=76 |
2.4% | -2.6% | 1.73 | 0.93 | 1.2x | 5 | 95% |
| SMA 크로스오버 fast=43, slow=124 |
2.4% | -2.7% | 1.71 | 0.89 | 1.2x | 5 | 85% |
| ROC 모멘텀 n=93, threshold=0 |
2.2% | -4.4% | 1.48 | 0.49 | 1.2x | 9 | 84% |
| ADX / DI 방향성 period=36, threshold=20 |
1.2% | -3.4% | 1.04 | 0.37 | 1.1x | 15 | 72% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=12, mult=2.4 |
1.3% | -5.3% | 0.86 | 0.24 | 1.1x | 19 | 85% |
| 볼린저 밴드 돌파 n=59, k=1.8 |
1.2% | -4.6% | 0.86 | 0.27 | 1.1x | 17 | 70% |
| Supertrend period=9, mult=4.7 |
0.6% | -7.9% | 0.37 | 0.07 | 1.0x | 31 | 84% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.2% | -6.0% | -0.11 | -0.03 | 1.0x | 39 | 77% |
| MACD fast=19, slow=51, signal=22 |
-2.5% | -17.9% | -1.50 | -0.14 | 0.8x | 59 | 47% |
| Buy and hold | 2.8% | -1.1% | 2.04 | 2.49 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 236-day EMA
- Sell — Sell when the 47-day EMA falls below the 236-day EMA