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. 9 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
9 of 10 beat buy and hold (CAGR -1.0%, drawdown -74.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -33.5%, Sharpe 0.55, 19% exposure.
CAGR reference leader: MACD — CAGR 9.5%, MDD -47.7%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.1%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=2.4 |
9.1% | -33.5% | 0.55 | 0.27 | 2.7x | 36 | 19% |
| MACD fast=22, slow=49, signal=23 |
9.5% | -47.7% | 0.49 | 0.20 | 2.8x | 84 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=15, mult=2.9 |
5.5% | -26.4% | 0.45 | 0.21 | 1.8x | 16 | 5% |
| ROC 모멘텀 n=167, threshold=-0.05 |
8.6% | -44.3% | 0.45 | 0.19 | 2.5x | 63 | 53% |
| Donchian 채널 돌파 entryN=118, exitN=48 |
7.0% | -34.1% | 0.43 | 0.21 | 2.1x | 10 | 25% |
| SMA 크로스오버 fast=58, slow=209 |
6.4% | -37.5% | 0.39 | 0.17 | 2.0x | 9 | 45% |
| ADX / DI 방향성 period=21, threshold=39 |
1.4% | -8.4% | 0.32 | 0.17 | 1.2x | 2 | 1% |
| EMA 크로스오버 fast=38, slow=199 |
4.6% | -48.4% | 0.31 | 0.09 | 1.7x | 11 | 41% |
| Supertrend period=12, mult=3.6 |
3.9% | -53.8% | 0.28 | 0.07 | 1.5x | 52 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.4% | -69.2% | 0.03 | -0.03 | 0.8x | 150 | 49% |
| Buy and hold | -1.0% | -74.2% | 0.17 | -0.01 | 0.9x | 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 (2.4× volatility)
- Sell — Sell when the close falls back to the 32-day middle average