Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E Fund CSI 300 Health Sector Index ETF backtest
10 trend-following strategies were compared on the full daily history of E Fund CSI 300 Health Sector Index ETF. 10 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 1.8%, MDD -11.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.3%, drawdown -79.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -11.0%, Sharpe 0.31, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -74.9%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 68.6%p (CAGR 1.8%, MDD -11.0%, exposure 5%).
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=16, threshold=36 |
1.8% | -11.0% | 0.31 | 0.16 | 1.3x | 14 | 5% |
| SMA 크로스오버 fast=58, slow=218 |
6.5% | -74.9% | 0.30 | 0.09 | 2.3x | 10 | 54% |
| EMA 크로스오버 fast=50, slow=95 |
4.9% | -74.9% | 0.28 | 0.07 | 1.9x | 17 | 51% |
| Donchian 채널 돌파 entryN=23, exitN=36 |
4.4% | -74.9% | 0.27 | 0.06 | 1.7x | 43 | 58% |
| Supertrend period=14, mult=4.3 |
4.2% | -76.7% | 0.27 | 0.05 | 1.7x | 41 | 46% |
| 볼린저 밴드 돌파 n=40, k=1.2 |
3.6% | -75.0% | 0.26 | 0.05 | 1.6x | 84 | 40% |
| ROC 모멘텀 n=147, threshold=0 |
2.6% | -77.0% | 0.25 | 0.03 | 1.4x | 98 | 53% |
| MACD fast=14, slow=50, signal=19 |
1.6% | -79.1% | 0.24 | 0.02 | 1.2x | 138 | 54% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.4% | -79.6% | 0.23 | 0.01 | 1.1x | 146 | 50% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=27, mult=1.9 |
-6.5% | -79.7% | -0.02 | -0.08 | 0.4x | 62 | 33% |
| Buy and hold | -7.3% | -79.7% | 0.20 | -0.09 | 0.4x | 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, 16-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)