Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC NASDAQ-100 Index Daily (-2x) Inverse Product ETF backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC NASDAQ-100 Index Daily (-2x) Inverse Product ETF. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.9%, MDD -71.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.2%, drawdown -96.1%).
Sharpe leader (same as main): Supertrend — CAGR 17.9%, MDD -71.4%, Sharpe 0.35, 35% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 17.9%, MDD -71.4%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.9 |
17.9% | -71.4% | 0.35 | 0.25 | 3.2x | 54 | 35% |
| ADX / DI 방향성 period=16, threshold=15 |
15.4% | -73.2% | 0.34 | 0.21 | 2.7x | 100 | 30% |
| MACD fast=22, slow=52, signal=15 |
4.0% | -87.6% | 0.31 | 0.05 | 1.3x | 64 | 51% |
| Donchian 채널 돌파 entryN=18, exitN=70 |
-0.8% | -89.3% | 0.30 | -0.01 | 0.9x | 36 | 49% |
| ROC 모멘텀 n=18, threshold=-0.04 |
-1.8% | -89.5% | 0.30 | -0.02 | 0.9x | 178 | 48% |
| SMA 크로스오버 fast=74, slow=221 |
-1.3% | -47.1% | 0.08 | -0.03 | 0.9x | 4 | 22% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
-1.0% | -32.5% | 0.05 | -0.03 | 0.9x | 6 | 7% |
| EMA 크로스오버 fast=5, slow=113 |
-6.6% | -56.5% | -0.02 | -0.12 | 0.6x | 20 | 22% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=2 |
-8.1% | -56.2% | -0.09 | -0.14 | 0.5x | 30 | 21% |
| Parabolic SAR step=0.025, maxStep=0.08 |
-13.9% | -75.6% | -0.24 | -0.18 | 0.3x | 102 | 34% |
| Buy and hold | 12.2% | -96.1% | 0.44 | 0.13 | 2.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)