Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Bosera CSI Convertible Bond and Exchangeable Bond Index ETF Units backtest
10 trend-following strategies were compared on the full daily history of Bosera CSI Convertible Bond and Exchangeable Bond Index ETF Units. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -15.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.3%, MDD -16.4%, Sharpe 0.59, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=47, threshold=-0.08 |
5.3% | -16.4% | 0.59 | 0.32 | 1.4x | 5 | 97% |
| Donchian 채널 돌파 entryN=15, exitN=73 |
4.1% | -14.6% | 0.53 | 0.28 | 1.3x | 11 | 75% |
| SMA 크로스오버 fast=17, slow=157 |
3.5% | -15.7% | 0.49 | 0.22 | 1.2x | 14 | 58% |
| EMA 크로스오버 fast=33, slow=114 |
3.4% | -14.8% | 0.47 | 0.23 | 1.2x | 12 | 64% |
| ADX / DI 방향성 period=28, threshold=25 |
2.0% | -8.5% | 0.45 | 0.24 | 1.1x | 10 | 13% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=13, mult=1.5 |
2.5% | -12.0% | 0.41 | 0.21 | 1.2x | 36 | 44% |
| 볼린저 밴드 돌파 n=17, k=2.8 |
1.2% | -8.9% | 0.36 | 0.14 | 1.1x | 10 | 8% |
| Supertrend period=29, mult=4 |
1.1% | -11.8% | 0.19 | 0.09 | 1.1x | 30 | 54% |
| MACD fast=22, slow=40, signal=15 |
-0.9% | -26.9% | -0.10 | -0.03 | 0.9x | 72 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-2.4% | -24.4% | -0.34 | -0.10 | 0.9x | 94 | 53% |
| Buy and hold | 4.9% | -15.9% | 0.56 | 0.31 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 47-day return is greater than -8%
- Sell — Sell when the 47-day return drops to -8% or below