Trend-Following Backtester · Guide · backtest 한국어
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Yuanta Daily CSI 300 Bull 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta Daily CSI 300 Bull 2X ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.7%, MDD -55.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -72.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -41.5%, Sharpe 0.35, 34% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.7%, MDD -55.5%, exposure 59%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 30.9%p (CAGR 5.7%, MDD -55.5%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=98, exitN=35 |
5.3% | -41.5% | 0.35 | 0.13 | 1.8x | 18 | 34% |
| ROC 모멘텀 n=160, threshold=-0.06 |
5.7% | -55.5% | 0.34 | 0.10 | 1.9x | 65 | 59% |
| EMA 크로스오버 fast=22, slow=178 |
4.6% | -59.5% | 0.31 | 0.08 | 1.7x | 17 | 51% |
| Supertrend period=9, mult=3.9 |
4.4% | -46.0% | 0.30 | 0.10 | 1.6x | 52 | 46% |
| ADX / DI 방향성 period=33, threshold=14 |
2.9% | -35.3% | 0.25 | 0.08 | 1.4x | 38 | 23% |
| 볼린저 밴드 돌파 n=36, k=1.4 |
2.6% | -45.7% | 0.23 | 0.06 | 1.3x | 76 | 37% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=3.6 |
2.2% | -37.1% | 0.21 | 0.06 | 1.3x | 32 | 22% |
| SMA 크로스오버 fast=6, slow=252 |
2.0% | -65.2% | 0.21 | 0.03 | 1.3x | 31 | 50% |
| MACD fast=15, slow=44, signal=16 |
-2.8% | -54.1% | 0.04 | -0.05 | 0.7x | 128 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.6% | -62.5% | -0.11 | -0.11 | 0.5x | 180 | 50% |
| Buy and hold | 7.3% | -72.5% | 0.36 | 0.10 | 2.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 98 days
- Sell — Sell when price breaks below the lowest low of the last 35 days