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Trend-Following Backtester · Guide · backtest 한국어

etf · HK

Premia China STAR50 ETF HKD backtest

10 trend-following strategies were compared on the full daily history of Premia China STAR50 ETF HKD. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.5%, MDD -29.1%).

Data 2021-07-27 ~ 2026-08-31daily bars 1,249 (5.1 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-08-31

Results by strategy

10 of 10 beat buy and hold (CAGR 3.5%, drawdown -64.6%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -29.1%, Sharpe 0.59, 40% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 13.1%, MDD -34.1%, exposure 41%.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 11.5%, MDD -29.1%, exposure 37%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=36, slow=250
12.0%-29.1%0.590.411.8x340%
EMA 크로스오버
fast=53, slow=211
11.5%-29.1%0.570.391.7x337%
ROC 모멘텀
n=170, threshold=-0.01
13.1%-34.1%0.570.381.9x2541%
Keltner 채널 돌파
emaPeriod=26, atrPeriod=17, mult=2.3
11.7%-33.3%0.570.351.8x2623%
Supertrend
period=28, mult=3.1
11.8%-31.4%0.560.381.8x4242%
볼린저 밴드 돌파
n=25, k=2.8
9.9%-33.3%0.560.301.6x89%
Parabolic SAR
step=0.015, maxStep=0.06
11.1%-35.7%0.530.311.7x5242%
MACD
fast=12, slow=45, signal=15
11.1%-42.2%0.520.261.7x5846%
ADX / DI 방향성
period=23, threshold=17
11.0%-33.3%0.520.331.7x3229%
Donchian 채널 돌파
entryN=90, exitN=54
4.4%-34.4%0.300.131.2x834%
Buy and hold3.5%-64.6%0.280.051.2x1100%
1x 2022 2023 2024 2025 2026 ROC 모멘텀SMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -16% -32% -48% -65% 2022 2023 2024 2025 2026 Buy and holdROC 모멘텀SMA 크로스오버
SMA 크로스오버 maximum drawdown -29.1% (2026-06-30 → 2026-08-03), prior peak not yet recovered.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore HK assetsAll asset reports

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