Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Shanghai Pledge Chengtou Bond Exchange Traded Open-end Index Fund Units backtest
10 trend-following strategies were compared on the full daily history of Shanghai Pledge Chengtou Bond Exchange Traded Open-end Index Fund Units. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR -17.6%, drawdown -91.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -17.8%, MDD -91.0%, Sharpe -0.27, 86% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=13, exitN=74 |
-17.8% | -91.0% | -0.27 | -0.20 | 0.1x | 23 | 86% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
-18.3% | -90.6% | -0.30 | -0.20 | 0.1x | 2 | 0% |
| ROC 모멘텀 n=109, threshold=0.08 |
-18.3% | -90.6% | -0.30 | -0.20 | 0.1x | 2 | 0% |
| EMA 크로스오버 fast=23, slow=136 |
-18.5% | -91.3% | -0.31 | -0.20 | 0.1x | 19 | 47% |
| Supertrend period=13, mult=4.8 |
-18.6% | -91.7% | -0.31 | -0.20 | 0.1x | 38 | 54% |
| ADX / DI 방향성 period=37, threshold=26 |
-18.7% | -91.2% | -0.32 | -0.21 | 0.1x | 16 | 4% |
| SMA 크로스오버 fast=15, slow=219 |
-18.8% | -91.4% | -0.32 | -0.21 | 0.1x | 23 | 54% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=35, mult=4 |
-18.8% | -91.3% | -0.33 | -0.21 | 0.1x | 12 | 2% |
| MACD fast=26, slow=72, signal=31 |
-19.4% | -92.4% | -0.35 | -0.21 | 0.1x | 56 | 57% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-20.0% | -92.9% | -0.38 | -0.22 | 0.1x | 61 | 45% |
| Buy and hold | -17.6% | -91.2% | 0.24 | -0.19 | 0.1x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 74 days