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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.8%, MDD -42.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.3%, drawdown -81.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.2%, MDD -45.5%, Sharpe 0.60, 16% exposure.
Return/drawdown alternative: Supertrend — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 8.8%, MDD -42.9%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=24 |
13.2% | -45.5% | 0.60 | 0.29 | 2.1x | 14 | 16% |
| Supertrend period=24, mult=4.7 |
8.8% | -42.9% | 0.44 | 0.21 | 1.7x | 14 | 37% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=3.6 |
4.2% | -45.7% | 0.29 | 0.09 | 1.3x | 10 | 12% |
| 볼린저 밴드 돌파 n=43, k=2.5 |
3.3% | -44.2% | 0.25 | 0.08 | 1.2x | 14 | 16% |
| SMA 크로스오버 fast=9, slow=38 |
1.9% | -46.5% | 0.22 | 0.04 | 1.1x | 42 | 43% |
| EMA 크로스오버 fast=11, slow=24 |
1.5% | -48.2% | 0.20 | 0.03 | 1.1x | 52 | 44% |
| MACD fast=16, slow=69, signal=17 |
-2.6% | -58.0% | 0.08 | -0.04 | 0.9x | 54 | 43% |
| Donchian 채널 돌파 entryN=13, exitN=37 |
-3.9% | -62.9% | 0.06 | -0.06 | 0.8x | 34 | 64% |
| ROC 모멘텀 n=55, threshold=0.14 |
-2.0% | -44.2% | 0.06 | -0.04 | 0.9x | 56 | 18% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-7.0% | -69.8% | -0.08 | -0.10 | 0.6x | 164 | 47% |
| Buy and hold | -6.3% | -81.1% | 0.08 | -0.08 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 22-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)