Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Levd. & Invr. Ser. - Hang Seng China Enterprises In. (2x) backtest
10 trend-following strategies were compared on the full daily history of CSOP Levd. & Invr. Ser. - Hang Seng China Enterprises In. (2x). 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.7%, MDD -21.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.9%, drawdown -90.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -34.4%, Sharpe 0.23, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR 0.7%, MDD -21.7%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=2.5 |
2.6% | -34.4% | 0.23 | 0.08 | 1.3x | 30 | 14% |
| EMA 크로스오버 fast=38, slow=61 |
1.5% | -59.6% | 0.21 | 0.03 | 1.1x | 20 | 40% |
| Donchian 채널 돌파 entryN=77, exitN=83 |
0.3% | -67.4% | 0.17 | 0.00 | 1.0x | 12 | 46% |
| Supertrend period=27, mult=5 |
0.4% | -59.1% | 0.17 | 0.01 | 1.0x | 29 | 40% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=4 |
0.7% | -21.7% | 0.13 | 0.03 | 1.1x | 2 | 0% |
| SMA 크로스오버 fast=32, slow=119 |
-1.4% | -61.1% | 0.11 | -0.02 | 0.9x | 16 | 40% |
| ROC 모멘텀 n=134, threshold=-0.03 |
-4.1% | -74.6% | 0.03 | -0.05 | 0.7x | 52 | 45% |
| MACD fast=18, slow=58, signal=13 |
-7.5% | -76.9% | -0.08 | -0.10 | 0.5x | 117 | 48% |
| ADX / DI 방향성 period=12, threshold=33 |
-3.4% | -39.2% | -0.17 | -0.09 | 0.7x | 26 | 5% |
| Parabolic SAR step=0.045, maxStep=0.3 |
-11.6% | -79.1% | -0.23 | -0.15 | 0.3x | 313 | 49% |
| Buy and hold | -8.9% | -90.3% | 0.06 | -0.10 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 26-day middle average