Trend-Following Backtester · Guide · backtest 한국어
etf · US
KraneShares China Technology & Semiconductor STAR 50 Index ETF backtest
10 trend-following strategies were compared on the full daily history of KraneShares China Technology & Semiconductor STAR 50 Index ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.6%, MDD -27.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.7%, drawdown -66.5%).
Sharpe leader (same as main): Supertrend — CAGR 14.0%, MDD -35.4%, Sharpe 0.60, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 9.6%, MDD -27.5%, exposure 38%).
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=25, mult=3.8 |
14.0% | -35.4% | 0.60 | 0.40 | 2.1x | 40 | 44% |
| MACD fast=17, slow=21, signal=8 |
12.1% | -43.7% | 0.53 | 0.28 | 1.9x | 92 | 47% |
| SMA 크로스오버 fast=48, slow=161 |
9.6% | -27.5% | 0.50 | 0.35 | 1.7x | 9 | 38% |
| 볼린저 밴드 돌파 n=22, k=2.9 |
8.9% | -41.9% | 0.48 | 0.21 | 1.6x | 10 | 10% |
| Parabolic SAR step=0.02, maxStep=0.06 |
9.4% | -38.5% | 0.45 | 0.24 | 1.6x | 66 | 46% |
| ADX / DI 방향성 period=8, threshold=31 |
8.1% | -41.6% | 0.43 | 0.20 | 1.5x | 44 | 18% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=2.5 |
8.6% | -41.6% | 0.42 | 0.21 | 1.6x | 24 | 30% |
| EMA 크로스오버 fast=7, slow=208 |
8.5% | -41.6% | 0.42 | 0.20 | 1.6x | 5 | 36% |
| Donchian 채널 돌파 entryN=27, exitN=66 |
6.5% | -41.6% | 0.35 | 0.16 | 1.4x | 15 | 61% |
| ROC 모멘텀 n=121, threshold=0 |
5.8% | -41.6% | 0.33 | 0.14 | 1.4x | 37 | 41% |
| Buy and hold | -0.7% | -66.5% | 0.17 | -0.01 | 1.0x | 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) — 25-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)