Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Leveraged and Inverse Series - CSOP NASDAQ-100 Index Daily (-2x) Inverse Product backtest
10 trend-following strategies were compared on the full daily history of CSOP Leveraged and Inverse Series - CSOP NASDAQ-100 Index Daily (-2x) Inverse Product. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -97.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.4%, MDD -33.6%, Sharpe 0.18, 13% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=70, slow=217 |
1.4% | -33.6% | 0.18 | 0.04 | 1.1x | 2 | 13% |
| ROC 모멘텀 n=173, threshold=0 |
-2.7% | -33.6% | 0.02 | -0.08 | 0.8x | 18 | 13% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=8, mult=0.6 |
-6.4% | -54.6% | -0.03 | -0.12 | 0.6x | 41 | 18% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
-8.9% | -58.6% | -0.11 | -0.15 | 0.5x | 27 | 17% |
| EMA 크로스오버 fast=35, slow=93 |
-10.8% | -71.9% | -0.17 | -0.15 | 0.5x | 12 | 18% |
| Donchian 채널 돌파 entryN=63, exitN=18 |
-10.9% | -62.1% | -0.22 | -0.18 | 0.5x | 16 | 14% |
| Parabolic SAR step=0.025, maxStep=0.08 |
-15.4% | -80.0% | -0.28 | -0.19 | 0.3x | 93 | 32% |
| Supertrend period=14, mult=4.9 |
-16.2% | -74.5% | -0.29 | -0.22 | 0.3x | 37 | 35% |
| ADX / DI 방향성 period=17, threshold=20 |
-14.2% | -75.1% | -0.37 | -0.19 | 0.3x | 50 | 13% |
| MACD fast=15, slow=59, signal=16 |
-23.9% | -90.8% | -0.48 | -0.26 | 0.2x | 71 | 53% |
| Buy and hold | 14.2% | -97.5% | 0.37 | 0.15 | 2.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 70-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 70-day average falls below the 217-day average