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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 32.4%, drawdown -63.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.1%, MDD -29.4%, Sharpe 0.84, 55% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 22.3%, MDD -31.3%, exposure 71%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=1.3 |
19.1% | -29.4% | 0.84 | 0.65 | 3.0x | 68 | 55% |
| EMA 크로스오버 fast=30, slow=93 |
22.3% | -31.3% | 0.83 | 0.71 | 3.5x | 9 | 71% |
| SMA 크로스오버 fast=33, slow=162 |
19.8% | -29.5% | 0.78 | 0.67 | 3.1x | 7 | 66% |
| ROC 모멘텀 n=90, threshold=-0.02 |
19.1% | -31.6% | 0.74 | 0.60 | 3.0x | 45 | 69% |
| Donchian 채널 돌파 entryN=72, exitN=69 |
18.7% | -30.6% | 0.72 | 0.61 | 2.9x | 9 | 69% |
| Supertrend period=24, mult=4.6 |
16.3% | -37.5% | 0.72 | 0.44 | 2.6x | 44 | 58% |
| ADX / DI 방향성 period=16, threshold=12 |
15.3% | -31.1% | 0.70 | 0.49 | 2.4x | 98 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
15.8% | -53.5% | 0.63 | 0.30 | 2.5x | 114 | 61% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
12.3% | -36.4% | 0.61 | 0.34 | 2.1x | 52 | 50% |
| MACD fast=9, slow=50, signal=18 |
5.6% | -47.3% | 0.34 | 0.12 | 1.4x | 84 | 48% |
| Buy and hold | 32.4% | -63.1% | 0.84 | 0.51 | 5.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 1.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average