Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E Fund CSI Overseas China Internet 50 ETF backtest
10 trend-following strategies were compared on the full daily history of E Fund CSI Overseas China Internet 50 ETF. 9 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 2.0%, MDD -7.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.4%, drawdown -68.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.0%, MDD -21.1%, Sharpe 0.51, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 2.0%, MDD -7.7%, exposure 6%).
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=27, k=1.7 |
7.0% | -21.1% | 0.51 | 0.33 | 1.9x | 59 | 32% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=9, mult=2.6 |
5.5% | -25.7% | 0.44 | 0.21 | 1.7x | 42 | 27% |
| EMA 크로스오버 fast=45, slow=98 |
6.6% | -34.0% | 0.43 | 0.19 | 1.8x | 14 | 52% |
| SMA 크로스오버 fast=44, slow=164 |
6.1% | -42.8% | 0.41 | 0.14 | 1.8x | 16 | 49% |
| Donchian 채널 돌파 entryN=119, exitN=73 |
5.5% | -32.4% | 0.40 | 0.17 | 1.7x | 8 | 41% |
| ADX / DI 방향성 period=37, threshold=26 |
2.0% | -7.7% | 0.37 | 0.25 | 1.2x | 4 | 6% |
| Supertrend period=18, mult=5 |
4.6% | -36.2% | 0.34 | 0.13 | 1.5x | 35 | 46% |
| ROC 모멘텀 n=172, threshold=-0.03 |
3.7% | -43.1% | 0.29 | 0.09 | 1.4x | 44 | 54% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.6% | -45.3% | 0.28 | 0.08 | 1.4x | 111 | 51% |
| MACD fast=21, slow=51, signal=10 |
0.5% | -45.3% | 0.13 | 0.01 | 1.1x | 105 | 48% |
| Buy and hold | 1.4% | -68.2% | 0.19 | 0.02 | 1.1x | 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 27-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 27-day middle average