Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hang Seng Biotech ETF backtest
10 trend-following strategies were compared on the full daily history of CSOP Hang Seng Biotech ETF. 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 3.9%, MDD -8.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.4%, drawdown -79.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -24.5%, Sharpe 0.73, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.2%p higher than buy and hold, while drawdown improves by 55.0%p (CAGR 3.9%, MDD -8.9%, exposure 5%).
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=27, k=2.8 |
11.8% | -24.5% | 0.73 | 0.48 | 1.8x | 9 | 13% |
| ROC 모멘텀 n=200, threshold=0.14 |
10.6% | -25.0% | 0.62 | 0.42 | 1.7x | 10 | 25% |
| Donchian 채널 돌파 entryN=66, exitN=75 |
11.3% | -32.6% | 0.58 | 0.35 | 1.7x | 5 | 33% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=22, mult=2.4 |
10.3% | -27.7% | 0.55 | 0.37 | 1.7x | 15 | 26% |
| SMA 크로스오버 fast=41, slow=234 |
9.1% | -32.4% | 0.52 | 0.28 | 1.6x | 4 | 34% |
| ADX / DI 방향성 period=32, threshold=20 |
3.9% | -8.9% | 0.49 | 0.43 | 1.2x | 10 | 5% |
| EMA 크로스오버 fast=46, slow=65 |
4.2% | -36.1% | 0.30 | 0.12 | 1.2x | 13 | 30% |
| Supertrend period=37, mult=3.9 |
3.4% | -43.5% | 0.27 | 0.08 | 1.2x | 27 | 43% |
| MACD fast=18, slow=50, signal=17 |
-5.8% | -56.6% | -0.05 | -0.10 | 0.7x | 51 | 48% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-5.7% | -50.6% | -0.06 | -0.11 | 0.7x | 59 | 42% |
| Buy and hold | -13.4% | -79.5% | -0.14 | -0.17 | 0.5x | 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 27-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 27-day middle average