Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC Asia High Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC Asia High Dividend ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -34.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -4.8%, Sharpe 0.53, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.6%, MDD -31.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=31 |
1.4% | -4.8% | 0.53 | 0.29 | 1.2x | 6 | 7% |
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.1 |
5.6% | -31.5% | 0.44 | 0.18 | 1.9x | 5 | 100% |
| Supertrend period=27, mult=4.1 |
3.7% | -30.7% | 0.42 | 0.12 | 1.5x | 135 | 56% |
| SMA 크로스오버 fast=36, slow=81 |
3.7% | -21.1% | 0.39 | 0.18 | 1.5x | 36 | 57% |
| Donchian 채널 돌파 entryN=55, exitN=80 |
3.6% | -24.0% | 0.37 | 0.15 | 1.5x | 22 | 65% |
| 볼린저 밴드 돌파 n=41, k=3.2 |
1.0% | -10.8% | 0.27 | 0.10 | 1.1x | 10 | 9% |
| EMA 크로스오버 fast=49, slow=144 |
2.0% | -33.2% | 0.24 | 0.06 | 1.3x | 21 | 63% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=24, mult=3.2 |
0.7% | -30.2% | 0.12 | 0.02 | 1.1x | 78 | 44% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.6% | -28.3% | 0.11 | 0.02 | 1.1x | 83 | 54% |
| MACD fast=12, slow=23, signal=18 |
0.4% | -35.0% | 0.09 | 0.01 | 1.0x | 167 | 48% |
| Buy and hold | 5.4% | -34.0% | 0.42 | 0.16 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)