Trend-Following Backtester · Guide · backtest 한국어

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Hwabao WP CSI Medical Exchange Traded Fund Units backtest

10 trend-following strategies were compared on the full daily history of Hwabao WP CSI Medical Exchange Traded Fund Units. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -5.3%).

Data 2019-05-20 ~ 2026-07-31daily bars 1,748 (7.2 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -14.5%, drawdown -73.5%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.4%, MDD -34.1%, Sharpe 0.66, 35% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.9%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 0.9%, MDD -5.3%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=25, k=1.4
10.4%-34.1%0.660.302.0x5135%
MACD
fast=16, slow=46, signal=14
9.8%-46.7%0.560.212.0x6750%
Supertrend
period=4, mult=5
3.6%-67.3%0.510.051.3x2148%
Donchian 채널 돌파
entryN=125, exitN=70
6.4%-32.0%0.440.201.6x437%
Keltner 채널 돌파
emaPeriod=56, atrPeriod=11, mult=1.6
5.7%-16.9%0.420.331.5x2428%
ROC 모멘텀
n=143, threshold=0.14
5.1%-32.7%0.410.151.4x3425%
ADX / DI 방향성
period=22, threshold=37
0.9%-5.3%0.330.161.1x21%
Parabolic SAR
step=0.01, maxStep=0.12
-14.4%-75.0%0.26-0.190.3x8845%
SMA 크로스오버
fast=51, slow=218
2.9%-37.3%0.260.081.2x839%
EMA 크로스오버
fast=22, slow=145
0.6%-44.5%0.120.011.0x1235%
Buy and hold-14.5%-73.5%0.43-0.200.3x1100%
1x 2020 2021 2022 2023 2024 2025 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -37% -55% -74% 2020 2021 2022 2023 2024 2025 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -34.1% (2021-06-01 → 2024-08-15), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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