Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China AMC CSI 5G Communication Exchanged Open Index Securities Investment Fund backtest
10 trend-following strategies were compared on the full daily history of China AMC CSI 5G Communication Exchanged Open Index Securities Investment Fund. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.5%, MDD -10.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.3%, drawdown -73.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.4%, MDD -12.6%, Sharpe 0.65, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 60.9%p (CAGR 2.5%, MDD -10.8%, exposure 3%).
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=23, threshold=37 |
6.4% | -12.6% | 0.65 | 0.51 | 1.5x | 2 | 4% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
2.5% | -10.8% | 0.34 | 0.23 | 1.2x | 4 | 3% |
| SMA 크로스오버 fast=56, slow=157 |
0.2% | -67.2% | 0.33 | 0.00 | 1.0x | 12 | 52% |
| EMA 크로스오버 fast=6, slow=83 |
-2.7% | -65.5% | 0.30 | -0.04 | 0.8x | 38 | 50% |
| MACD fast=22, slow=26, signal=17 |
-0.6% | -74.6% | 0.25 | -0.01 | 1.0x | 70 | 50% |
| Donchian 채널 돌파 entryN=9, exitN=46 |
-11.7% | -89.3% | 0.09 | -0.13 | 0.4x | 28 | 80% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=2.4 |
-7.7% | -65.5% | 0.01 | -0.12 | 0.6x | 34 | 32% |
| Supertrend period=12, mult=3 |
-14.0% | -88.3% | 0.00 | -0.16 | 0.4x | 48 | 52% |
| ROC 모멘텀 n=119, threshold=-0.04 |
-15.5% | -88.3% | -0.04 | -0.18 | 0.3x | 64 | 58% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-19.3% | -88.7% | -0.15 | -0.22 | 0.2x | 64 | 52% |
| Buy and hold | -1.3% | -73.5% | 0.33 | -0.02 | 0.9x | 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, 23-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)