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; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.2%, MDD -27.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.1%, drawdown -64.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 13.3%, MDD -35.7%, Sharpe 0.60, 43% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 11.2%, MDD -27.9%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.06 |
13.3% | -35.7% | 0.60 | 0.37 | 1.9x | 50 | 43% |
| SMA 크로스오버 fast=36, slow=250 |
11.7% | -27.9% | 0.59 | 0.42 | 1.7x | 3 | 39% |
| MACD fast=12, slow=45, signal=15 |
12.9% | -42.2% | 0.58 | 0.31 | 1.8x | 56 | 46% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=17, mult=2.3 |
12.0% | -33.3% | 0.57 | 0.36 | 1.8x | 26 | 24% |
| EMA 크로스오버 fast=53, slow=211 |
11.2% | -27.9% | 0.57 | 0.40 | 1.7x | 3 | 36% |
| Supertrend period=28, mult=3.1 |
12.1% | -31.4% | 0.57 | 0.38 | 1.8x | 42 | 43% |
| 볼린저 밴드 돌파 n=25, k=2.8 |
10.1% | -33.3% | 0.56 | 0.30 | 1.6x | 8 | 10% |
| ROC 모멘텀 n=170, threshold=-0.01 |
12.9% | -34.1% | 0.56 | 0.38 | 1.8x | 25 | 40% |
| ADX / DI 방향성 period=23, threshold=17 |
11.5% | -33.3% | 0.54 | 0.35 | 1.7x | 30 | 29% |
| Donchian 채널 돌파 entryN=90, exitN=54 |
5.7% | -34.4% | 0.34 | 0.17 | 1.3x | 7 | 35% |
| Buy and hold | 3.1% | -64.6% | 0.27 | 0.05 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots