Trend-Following Backtester · Guide · backtest 한국어
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Cathay BBB Corporate bond ex China Coupon 4.5% 10Yr+ 20% Sector Capped ETF backtest
10 trend-following strategies were compared on the full daily history of Cathay BBB Corporate bond ex China Coupon 4.5% 10Yr+ 20% Sector Capped ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.8%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.3%, drawdown -33.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -4.8%, Sharpe 0.60, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 0.8%, MDD -0.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=29 |
1.1% | -4.8% | 0.60 | 0.23 | 1.1x | 2 | 5% |
| ROC 모멘텀 n=11, threshold=0.13 |
0.8% | -0.5% | 0.42 | 1.58 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
0.5% | -3.5% | 0.37 | 0.16 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=148, exitN=6 |
0.6% | -4.3% | 0.35 | 0.15 | 1.1x | 12 | 5% |
| Supertrend period=12, mult=4.7 |
-0.1% | -23.9% | 0.01 | -0.01 | 1.0x | 50 | 52% |
| SMA 크로스오버 fast=102, slow=147 |
-0.2% | -12.4% | -0.02 | -0.02 | 1.0x | 18 | 42% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=32, mult=4 |
-0.0% | -3.8% | -0.02 | -0.01 | 1.0x | 4 | 2% |
| MACD fast=22, slow=30, signal=28 |
-1.2% | -25.5% | -0.16 | -0.05 | 0.9x | 67 | 51% |
| EMA 크로스오버 fast=23, slow=54 |
-3.1% | -35.1% | -0.45 | -0.09 | 0.8x | 34 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.2% | -33.5% | -0.46 | -0.10 | 0.8x | 120 | 49% |
| Buy and hold | -2.3% | -33.4% | -0.15 | -0.07 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)