Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP NASDAQ-100 Index Daily (2x) Leveraged Product ETF backtest
10 trend-following strategies were compared on the full daily history of CSOP NASDAQ-100 Index Daily (2x) Leveraged Product ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 33.3%, drawdown -63.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.3%, MDD -31.3%, Sharpe 0.86, 71% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=93 |
23.3% | -31.3% | 0.86 | 0.74 | 3.7x | 9 | 71% |
| SMA 크로스오버 fast=33, slow=162 |
20.8% | -29.5% | 0.81 | 0.71 | 3.3x | 7 | 67% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=1.3 |
18.1% | -29.4% | 0.80 | 0.61 | 2.8x | 70 | 55% |
| ROC 모멘텀 n=90, threshold=-0.02 |
20.1% | -31.6% | 0.77 | 0.64 | 3.2x | 45 | 70% |
| Donchian 채널 돌파 entryN=72, exitN=69 |
19.7% | -30.6% | 0.75 | 0.65 | 3.1x | 9 | 70% |
| Supertrend period=24, mult=4.6 |
15.5% | -37.5% | 0.69 | 0.41 | 2.5x | 45 | 58% |
| ADX / DI 방향성 period=16, threshold=12 |
13.9% | -31.1% | 0.65 | 0.45 | 2.3x | 103 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
15.4% | -53.5% | 0.62 | 0.29 | 2.5x | 116 | 61% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
10.6% | -36.4% | 0.55 | 0.29 | 1.9x | 54 | 50% |
| MACD fast=9, slow=50, signal=18 |
5.0% | -47.3% | 0.32 | 0.11 | 1.4x | 86 | 48% |
| Buy and hold | 33.3% | -63.1% | 0.86 | 0.53 | 6.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 93-day EMA
- Sell — Sell when the 30-day EMA falls below the 93-day EMA