Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Huatai-PineBridge CSI 300 ETF backtest
10 trend-following strategies were compared on the full daily history of Huatai-PineBridge CSI 300 ETF. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.6%, MDD -20.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.8%, drawdown -46.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.6%, MDD -20.1%, Sharpe 0.58, 16% exposure.
CAGR reference leader: Supertrend — CAGR 6.8%, MDD -28.3%, exposure 44%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 5.6%, MDD -20.1%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=3.6 |
5.6% | -20.1% | 0.58 | 0.28 | 2.2x | 30 | 16% |
| Supertrend period=24, mult=4.9 |
6.8% | -28.3% | 0.56 | 0.24 | 2.5x | 38 | 44% |
| Donchian 채널 돌파 entryN=119, exitN=47 |
5.7% | -21.1% | 0.49 | 0.27 | 2.2x | 18 | 38% |
| ADX / DI 방향성 period=26, threshold=17 |
5.2% | -23.1% | 0.49 | 0.22 | 2.1x | 60 | 27% |
| 볼린저 밴드 돌파 n=36, k=2.3 |
4.7% | -21.6% | 0.47 | 0.22 | 1.9x | 56 | 26% |
| SMA 크로스오버 fast=50, slow=218 |
4.6% | -43.8% | 0.36 | 0.11 | 1.9x | 15 | 50% |
| ROC 모멘텀 n=33, threshold=0.12 |
2.5% | -17.7% | 0.33 | 0.14 | 1.4x | 58 | 8% |
| EMA 크로스오버 fast=58, slow=159 |
3.4% | -43.8% | 0.29 | 0.08 | 1.6x | 15 | 52% |
| MACD fast=13, slow=68, signal=21 |
1.1% | -42.1% | 0.15 | 0.03 | 1.2x | 140 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.7% | -55.1% | 0.03 | -0.01 | 0.9x | 118 | 51% |
| Buy and hold | 3.8% | -46.3% | 0.29 | 0.08 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average