Trend-Following Backtester · Guide · backtest 한국어
etf · CN
ChinaAMC Hang Seng Internet & Information Technology ETF backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC Hang Seng Internet & Information Technology ETF. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.3%, MDD -14.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.3%, drawdown -72.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.8%, MDD -22.5%, Sharpe 0.38, 24% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR 4.3%, MDD -14.4%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=149, threshold=0.08 |
4.8% | -22.5% | 0.38 | 0.21 | 1.3x | 36 | 24% |
| Donchian 채널 돌파 entryN=50, exitN=13 |
4.3% | -14.4% | 0.36 | 0.30 | 1.3x | 14 | 16% |
| 볼린저 밴드 돌파 n=30, k=2 |
4.1% | -20.2% | 0.33 | 0.20 | 1.2x | 24 | 22% |
| SMA 크로스오버 fast=58, slow=168 |
2.6% | -24.4% | 0.24 | 0.11 | 1.2x | 4 | 35% |
| MACD fast=13, slow=49, signal=17 |
2.4% | -35.7% | 0.22 | 0.07 | 1.1x | 53 | 47% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=8, mult=1.8 |
2.1% | -19.4% | 0.21 | 0.11 | 1.1x | 28 | 19% |
| EMA 크로스오버 fast=67, slow=275 |
1.2% | -29.4% | 0.16 | 0.04 | 1.1x | 2 | 26% |
| Supertrend period=36, mult=3.9 |
0.2% | -46.6% | 0.11 | 0.00 | 1.0x | 23 | 35% |
| ADX / DI 방향성 period=36, threshold=20 |
-2.2% | -20.3% | -0.17 | -0.11 | 0.9x | 6 | 8% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-9.2% | -57.9% | -0.32 | -0.16 | 0.6x | 115 | 47% |
| Buy and hold | -15.3% | -72.7% | -0.33 | -0.21 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 149-day return is greater than 8%
- Sell — Sell when the 149-day return drops to 8% or below