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 0.6%, drawdown -82.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -34.3%, Sharpe 0.46, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%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 |
7.8% | -34.3% | 0.46 | 0.23 | 2.7x | 47 | 42% |
| EMA 크로스오버 fast=23, slow=28 |
7.3% | -53.5% | 0.42 | 0.14 | 2.5x | 59 | 50% |
| SMA 크로스오버 fast=11, slow=62 |
7.1% | -36.2% | 0.42 | 0.20 | 2.5x | 55 | 49% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=3.1 |
4.2% | -25.1% | 0.39 | 0.17 | 1.7x | 38 | 13% |
| 볼린저 밴드 돌파 n=25, k=3 |
3.1% | -20.2% | 0.38 | 0.15 | 1.5x | 14 | 7% |
| Supertrend period=18, mult=4 |
6.3% | -48.3% | 0.37 | 0.13 | 2.2x | 69 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.5% | -62.5% | 0.34 | 0.09 | 2.0x | 103 | 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 |
3.0% | -67.9% | 0.24 | 0.04 | 1.5x | 145 | 51% |
| ROC 모멘텀 n=121, threshold=0 |
-0.5% | -63.8% | 0.10 | -0.01 | 0.9x | 126 | 55% |
| Buy and hold | 0.6% | -82.2% | 0.20 | 0.01 | 1.1x | 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