Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP CSI 300 Index Daily (2x) Leveraged Product backtest
10 trend-following strategies were compared on the full daily history of CSOP CSI 300 Index Daily (2x) Leveraged Product. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.5%, MDD -5.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.9%, drawdown -81.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.5%, MDD -5.8%, Sharpe 0.68, 1% exposure.
CAGR reference leader: Supertrend — CAGR 13.7%, MDD -35.6%, exposure 36%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 75.3%p (CAGR 10.5%, MDD -5.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=2, threshold=0.11 |
10.5% | -5.8% | 0.68 | 1.82 | 1.9x | 10 | 1% |
| Supertrend period=35, mult=4.7 |
13.7% | -35.6% | 0.60 | 0.39 | 2.2x | 14 | 36% |
| ADX / DI 방향성 period=24, threshold=25 |
12.7% | -44.2% | 0.59 | 0.29 | 2.1x | 10 | 13% |
| 볼린저 밴드 돌파 n=15, k=2.7 |
5.2% | -43.0% | 0.34 | 0.12 | 1.4x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=9, mult=3.4 |
2.9% | -46.2% | 0.24 | 0.06 | 1.2x | 12 | 15% |
| SMA 크로스오버 fast=4, slow=34 |
1.8% | -50.0% | 0.21 | 0.04 | 1.1x | 62 | 41% |
| MACD fast=28, slow=59, signal=19 |
1.0% | -49.2% | 0.19 | 0.02 | 1.1x | 40 | 43% |
| Donchian 채널 돌파 entryN=118, exitN=2 |
1.7% | -33.5% | 0.18 | 0.05 | 1.1x | 18 | 4% |
| EMA 크로스오버 fast=16, slow=35 |
0.2% | -53.7% | 0.16 | 0.00 | 1.0x | 36 | 43% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-9.0% | -69.8% | -0.15 | -0.13 | 0.6x | 170 | 47% |
| Buy and hold | -7.9% | -81.1% | 0.04 | -0.10 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 2-day return is greater than 11%
- Sell — Sell when the 2-day return drops to 11% or below