Trend-Following Backtester · Guide · backtest 한국어
etf · US
KraneShares CSI China Internet ETF backtest
10 trend-following strategies were compared on the full daily history of KraneShares CSI China Internet ETF. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -10.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.2%, drawdown -82.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -34.3%, Sharpe 0.43, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 1.2%, MDD -10.9%, exposure 1%).
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=32, exitN=23 |
7.0% | -34.3% | 0.43 | 0.20 | 2.4x | 47 | 42% |
| EMA 크로스오버 fast=23, slow=28 |
6.5% | -53.5% | 0.39 | 0.12 | 2.3x | 60 | 51% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=3.1 |
4.1% | -25.1% | 0.38 | 0.17 | 1.7x | 38 | 13% |
| SMA 크로스오버 fast=11, slow=62 |
6.3% | -36.2% | 0.38 | 0.17 | 2.2x | 55 | 49% |
| 볼린저 밴드 돌파 n=25, k=3 |
3.1% | -20.2% | 0.38 | 0.15 | 1.5x | 14 | 7% |
| Supertrend period=18, mult=4 |
5.7% | -48.3% | 0.35 | 0.12 | 2.1x | 70 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.9% | -62.5% | 0.32 | 0.08 | 1.9x | 104 | 52% |
| ADX / DI 방향성 period=47, threshold=35 |
1.2% | -10.9% | 0.31 | 0.11 | 1.2x | 2 | 1% |
| MACD fast=15, slow=46, signal=15 |
2.4% | -67.9% | 0.22 | 0.04 | 1.4x | 146 | 51% |
| ROC 모멘텀 n=121, threshold=0 |
-0.4% | -63.8% | 0.10 | -0.01 | 0.9x | 126 | 55% |
| Buy and hold | -0.2% | -82.2% | 0.18 | -0.00 | 1.0x | 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 32 days
- Sell — Sell when price breaks below the lowest low of the last 23 days