Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP STAR 50 Index ETF backtest
10 trend-following strategies were compared on the full daily history of CSOP STAR 50 Index ETF. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.8%, MDD -27.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.9%, drawdown -65.3%).
Sharpe leader (same as main): MACD — CAGR 18.2%, MDD -39.2%, Sharpe 0.72, 45% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 26.1%p (CAGR 11.8%, MDD -27.8%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=50, signal=19 |
18.2% | -39.2% | 0.72 | 0.47 | 2.5x | 52 | 45% |
| Supertrend period=17, mult=2.6 |
13.5% | -38.3% | 0.61 | 0.35 | 2.0x | 58 | 43% |
| EMA 크로스오버 fast=61, slow=235 |
11.8% | -27.8% | 0.60 | 0.42 | 1.8x | 3 | 33% |
| 볼린저 밴드 돌파 n=24, k=1.5 |
12.7% | -39.7% | 0.56 | 0.32 | 1.9x | 40 | 30% |
| SMA 크로스오버 fast=53, slow=153 |
8.9% | -29.6% | 0.48 | 0.30 | 1.6x | 7 | 37% |
| ROC 모멘텀 n=146, threshold=-0.02 |
9.4% | -38.3% | 0.45 | 0.25 | 1.6x | 31 | 43% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=25, mult=2.1 |
8.1% | -39.8% | 0.43 | 0.20 | 1.5x | 32 | 22% |
| Parabolic SAR step=0.01, maxStep=0.26 |
8.1% | -52.9% | 0.42 | 0.15 | 1.5x | 66 | 45% |
| Donchian 채널 돌파 entryN=30, exitN=71 |
7.2% | -41.2% | 0.38 | 0.17 | 1.5x | 13 | 61% |
| ADX / DI 방향성 period=15, threshold=16 |
4.6% | -44.9% | 0.30 | 0.10 | 1.3x | 80 | 39% |
| Buy and hold | 3.9% | -65.3% | 0.29 | 0.06 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/50) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line