Trend-Following Backtester · Guide · backtest 한국어

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ChinaAMC CSI 300 Index ETF HKD backtest

10 trend-following strategies were compared on the full daily history of ChinaAMC CSI 300 Index ETF HKD. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.9%, MDD -23.6%).

Data 2012-07-19 ~ 2026-07-31daily bars 3,446 (14.0 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 6.0%, drawdown -51.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.9%, MDD -23.6%, Sharpe 0.41, 25% exposure.

CAGR reference leader: Supertrend — CAGR 5.8%, MDD -42.0%, exposure 50%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 27.5%p (CAGR 4.9%, MDD -23.6%, exposure 25%).

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
Keltner 채널 돌파
emaPeriod=44, atrPeriod=23, mult=3.1
4.9%-23.6%0.410.211.9x3825%
Supertrend
period=28, mult=4.8
5.8%-42.0%0.400.142.2x4450%
Donchian 채널 돌파
entryN=76, exitN=63
4.9%-40.2%0.380.122.0x2248%
볼린저 밴드 돌파
n=44, k=1.2
4.6%-30.2%0.350.151.9x9042%
SMA 크로스오버
fast=12, slow=46
5.1%-47.7%0.340.112.0x8054%
EMA 크로스오버
fast=36, slow=86
3.2%-52.8%0.260.061.5x2956%
ADX / DI 방향성
period=28, threshold=15
0.9%-42.0%0.140.021.1x8231%
ROC 모멘텀
n=149, threshold=0.04
0.0%-55.3%0.100.001.0x10344%
MACD
fast=19, slow=38, signal=23
-1.3%-55.8%0.04-0.020.8x15250%
Parabolic SAR
step=0.01, maxStep=0.3
-2.6%-55.6%-0.04-0.050.7x18453%
Buy and hold6.0%-51.1%0.350.122.3x1100%
1x 2013 2015 2017 2019 2021 2023 2025 SupertrendKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -13% -26% -38% -51% 2013 2015 2017 2019 2021 2023 2025 Buy and holdSupertrendKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -23.6% (2012-11-02 → 2012-11-15), recovered after 766 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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