Trend-Following Backtester · Guide · backtest 한국어
etf · CN
HFT CSI Short Term Note 50 Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of HFT CSI Short Term Note 50 Exchange Traded Fund Units. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.1%, drawdown -1.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.7%, MDD -2.1%, Sharpe 2.69, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: SMA 크로스오버 — CAGR 1.8%, MDD -1.1%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 Hold-like · Exposure 98% entryN=15, exitN=64 |
1.7% | -2.1% | 2.69 | 0.81 | 1.1x | 3 | 98% |
| EMA 크로스오버 Hold-like · Exposure 96% fast=7, slow=62 |
1.6% | -2.1% | 2.65 | 0.79 | 1.1x | 3 | 96% |
| SMA 크로스오버 Hold-like · Exposure 96% fast=32, slow=49 |
1.8% | -1.1% | 2.52 | 1.70 | 1.1x | 3 | 96% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
1.4% | -2.0% | 2.10 | 0.68 | 1.1x | 5 | 94% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=1.9 |
1.4% | -2.0% | 2.08 | 0.68 | 1.1x | 5 | 94% |
| Parabolic SAR Hold-like · Exposure 99% step=0.015, maxStep=0.02 |
1.2% | -2.0% | 1.56 | 0.60 | 1.1x | 9 | 99% |
| Supertrend Hold-like · Exposure 97% period=28, mult=4.5 |
1.3% | -2.1% | 1.44 | 0.59 | 1.1x | 9 | 97% |
| ROC 모멘텀 Hold-like · Exposure 97% n=26, threshold=0 |
1.1% | -3.5% | 1.41 | 0.32 | 1.1x | 9 | 97% |
| ADX / DI 방향성 period=19, threshold=13 |
0.6% | -2.1% | 0.74 | 0.26 | 1.0x | 13 | 81% |
| MACD fast=24, slow=58, signal=25 |
-1.5% | -8.8% | -1.41 | -0.17 | 0.9x | 30 | 44% |
| Buy and hold | 2.1% | -1.1% | 3.06 | 1.97 | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 64 days