Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hang Seng Index Daily (2x) Leveraged Product backtest
10 trend-following strategies were compared on the full daily history of CSOP Hang Seng Index Daily (2x) Leveraged Product. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -26.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.1%, drawdown -83.7%).
Sharpe leader (same as main): Supertrend — CAGR 6.7%, MDD -64.7%, Sharpe 0.37, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 19.0%p (CAGR 3.1%, MDD -26.0%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=3 |
6.7% | -64.7% | 0.37 | 0.10 | 1.8x | 69 | 48% |
| Donchian 채널 돌파 entryN=65, exitN=82 |
5.7% | -47.5% | 0.34 | 0.12 | 1.7x | 12 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=20, mult=2.4 |
4.8% | -32.4% | 0.34 | 0.15 | 1.6x | 31 | 26% |
| 볼린저 밴드 돌파 n=36, k=3.1 |
3.1% | -26.0% | 0.31 | 0.12 | 1.3x | 6 | 5% |
| ROC 모멘텀 n=154, threshold=0.14 |
3.8% | -39.1% | 0.28 | 0.10 | 1.4x | 54 | 31% |
| EMA 크로스오버 fast=58, slow=76 |
-0.1% | -66.5% | 0.14 | -0.00 | 1.0x | 18 | 46% |
| SMA 크로스오버 fast=30, slow=120 |
-0.7% | -57.9% | 0.12 | -0.01 | 0.9x | 22 | 42% |
| MACD fast=15, slow=25, signal=15 |
-4.6% | -75.6% | -0.01 | -0.06 | 0.6x | 139 | 50% |
| ADX / DI 방향성 period=21, threshold=17 |
-3.0% | -41.9% | -0.06 | -0.07 | 0.8x | 66 | 22% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-8.1% | -81.5% | -0.15 | -0.10 | 0.5x | 135 | 50% |
| Buy and hold | -2.1% | -83.7% | 0.18 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)