Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP ETF Series - SZSE ChiNext backtest
10 trend-following strategies were compared on the full daily history of CSOP ETF Series - SZSE ChiNext. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -8.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.5%, drawdown -74.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.8%, MDD -33.5%, Sharpe 0.59, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 1.4%, MDD -8.4%, exposure 1%).
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=32, k=2.5 |
9.8% | -33.5% | 0.59 | 0.29 | 2.9x | 32 | 17% |
| SMA 크로스오버 fast=19, slow=30 |
9.7% | -38.4% | 0.50 | 0.25 | 2.9x | 114 | 48% |
| MACD fast=21, slow=49, signal=24 |
8.4% | -47.7% | 0.45 | 0.18 | 2.5x | 86 | 50% |
| Donchian 채널 돌파 entryN=106, exitN=75 |
8.1% | -44.9% | 0.44 | 0.18 | 2.4x | 8 | 39% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=9, mult=2.7 |
5.9% | -34.3% | 0.42 | 0.17 | 1.9x | 34 | 15% |
| ROC 모멘텀 n=148, threshold=0.05 |
6.7% | -44.3% | 0.39 | 0.15 | 2.1x | 60 | 39% |
| EMA 크로스오버 fast=7, slow=150 |
5.4% | -40.6% | 0.34 | 0.13 | 1.8x | 36 | 43% |
| ADX / DI 방향성 period=21, threshold=39 |
1.4% | -8.4% | 0.31 | 0.17 | 1.2x | 2 | 1% |
| Supertrend period=9, mult=3.9 |
4.5% | -53.2% | 0.30 | 0.08 | 1.6x | 46 | 50% |
| Parabolic SAR step=0.015, maxStep=0.02 |
1.8% | -48.4% | 0.20 | 0.04 | 1.2x | 60 | 46% |
| Buy and hold | -1.5% | -74.2% | 0.15 | -0.02 | 0.8x | 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 32-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 32-day middle average