Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E Fund Seeded CSI 300 ETF backtest
10 trend-following strategies were compared on the full daily history of E Fund Seeded CSI 300 ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -50.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -28.0%, Sharpe 0.54, 22% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.8%, MDD -62.6%, exposure 55%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=20 |
5.5% | -28.0% | 0.54 | 0.20 | 2.1x | 34 | 22% |
| SMA 크로스오버 fast=29, slow=176 |
7.8% | -62.6% | 0.37 | 0.13 | 2.8x | 20 | 55% |
| Donchian 채널 돌파 entryN=113, exitN=48 |
7.7% | -59.8% | 0.37 | 0.13 | 2.7x | 18 | 44% |
| EMA 크로스오버 fast=61, slow=218 |
7.5% | -58.7% | 0.36 | 0.13 | 2.7x | 9 | 57% |
| ROC 모멘텀 Hold-like · Exposure 95% n=4, threshold=-0.04 |
5.2% | -55.1% | 0.29 | 0.10 | 2.0x | 131 | 95% |
| MACD fast=20, slow=68, signal=19 |
4.2% | -66.6% | 0.27 | 0.06 | 1.7x | 112 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=4 |
1.5% | -55.9% | 0.20 | 0.03 | 1.2x | 28 | 22% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
1.0% | -57.6% | 0.18 | 0.02 | 1.1x | 74 | 38% |
| Supertrend period=22, mult=4.6 |
0.8% | -58.0% | 0.17 | 0.01 | 1.1x | 40 | 53% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-5.2% | -74.8% | -0.14 | -0.07 | 0.5x | 176 | 55% |
| Buy and hold | 11.8% | -50.0% | 0.43 | 0.24 | 4.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)