Trend-Following Backtester · Guide · backtest 한국어
etf · CN
SSE Dividend Index ETF backtest
10 trend-following strategies were compared on the full daily history of SSE Dividend Index ETF. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -15.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.9%, drawdown -77.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -15.3%, Sharpe 0.49, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 62.3%p (CAGR 2.7%, MDD -15.3%, exposure 3%).
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=39, threshold=29 |
2.7% | -15.3% | 0.49 | 0.17 | 1.6x | 4 | 3% |
| Donchian 채널 돌파 entryN=60, exitN=12 |
2.5% | -25.4% | 0.28 | 0.10 | 1.6x | 68 | 24% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=24, mult=3.8 |
1.4% | -21.1% | 0.24 | 0.07 | 1.3x | 24 | 5% |
| 볼린저 밴드 돌파 n=57, k=2 |
1.8% | -44.3% | 0.21 | 0.04 | 1.4x | 64 | 30% |
| SMA 크로스오버 fast=60, slow=93 |
1.7% | -47.5% | 0.19 | 0.03 | 1.4x | 54 | 52% |
| EMA 크로스오버 fast=36, slow=103 |
-2.3% | -68.7% | 0.09 | -0.03 | 0.6x | 52 | 50% |
| Supertrend period=23, mult=4.6 |
-0.6% | -47.1% | 0.04 | -0.01 | 0.9x | 83 | 49% |
| ROC 모멘텀 n=60, threshold=-0.04 |
-2.0% | -67.7% | -0.03 | -0.03 | 0.7x | 187 | 69% |
| MACD fast=10, slow=22, signal=13 |
-5.5% | -74.9% | -0.14 | -0.07 | 0.3x | 317 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-5.8% | -79.2% | -0.15 | -0.07 | 0.3x | 225 | 51% |
| Buy and hold | -1.9% | -77.6% | 0.13 | -0.02 | 0.7x | 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, 39-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)