Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China Southern CSI 1000 Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of China Southern CSI 1000 Exchange Traded Fund. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 10.3%, MDD -31.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -51.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.4%, MDD -12.9%, Sharpe 0.68, 10% exposure.
CAGR reference leader: Parabolic SAR — CAGR 10.3%, MDD -31.4%, exposure 52%.
Return/drawdown alternative: Parabolic SAR — CAGR is 5.8%p lower than buy and hold, while drawdown improves by 38.1%p (CAGR 10.3%, MDD -31.4%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=2.4 |
6.4% | -12.9% | 0.68 | 0.49 | 1.8x | 18 | 10% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=17, mult=2.5 |
5.1% | -16.7% | 0.46 | 0.31 | 1.6x | 32 | 23% |
| ROC 모멘텀 n=162, threshold=0 |
4.5% | -22.9% | 0.34 | 0.20 | 1.5x | 39 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
10.3% | -31.4% | 0.33 | 0.33 | 2.6x | 81 | 52% |
| SMA 크로스오버 fast=17, slow=208 |
4.1% | -22.3% | 0.33 | 0.18 | 1.5x | 12 | 50% |
| Donchian 채널 돌파 entryN=45, exitN=58 |
3.7% | -27.9% | 0.30 | 0.13 | 1.4x | 18 | 47% |
| ADX / DI 방향성 period=33, threshold=38 |
0.4% | -3.7% | 0.29 | 0.12 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=16, slow=197 |
3.1% | -26.8% | 0.27 | 0.11 | 1.3x | 18 | 53% |
| Supertrend period=18, mult=4.4 |
-0.3% | -28.8% | 0.08 | -0.01 | 1.0x | 38 | 55% |
| MACD fast=12, slow=24, signal=18 |
-1.3% | -55.7% | -0.01 | -0.02 | 0.9x | 133 | 51% |
| Buy and hold | 12.2% | -51.0% | 0.37 | 0.24 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 23-day middle average