Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Bosera Hang Seng Healthcare Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of Bosera Hang Seng Healthcare Exchange Traded Fund. 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 4.6%, MDD -7.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.8%, drawdown -73.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -7.6%, Sharpe 0.66, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 7.7%, MDD -17.8%, exposure 26%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 65.7%p (CAGR 4.6%, MDD -7.6%, 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=20, threshold=31 |
4.6% | -7.6% | 0.66 | 0.60 | 1.3x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=2 |
7.7% | -17.8% | 0.52 | 0.43 | 1.5x | 19 | 26% |
| 볼린저 밴드 돌파 n=34, k=2.4 |
6.5% | -15.5% | 0.49 | 0.42 | 1.4x | 13 | 19% |
| SMA 크로스오버 fast=39, slow=177 |
6.6% | -28.4% | 0.48 | 0.23 | 1.4x | 4 | 31% |
| ROC 모멘텀 n=143, threshold=-0.04 |
7.0% | -31.5% | 0.46 | 0.22 | 1.4x | 14 | 38% |
| EMA 크로스오버 fast=54, slow=112 |
6.3% | -26.8% | 0.46 | 0.23 | 1.4x | 4 | 32% |
| Supertrend period=16, mult=2.7 |
5.4% | -34.7% | 0.35 | 0.16 | 1.3x | 39 | 40% |
| Donchian 채널 돌파 entryN=71, exitN=24 |
3.4% | -23.8% | 0.29 | 0.14 | 1.2x | 11 | 19% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-2.8% | -43.4% | -0.02 | -0.07 | 0.9x | 93 | 42% |
| MACD fast=14, slow=27, signal=12 |
-9.7% | -58.2% | -0.33 | -0.17 | 0.6x | 77 | 46% |
| Buy and hold | -9.8% | -73.3% | -0.14 | -0.13 | 0.6x | 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, 20-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)