Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China AMC SSE STAR 50 Index ETF backtest
10 trend-following strategies were compared on the full daily history of China AMC SSE STAR 50 Index ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.4%, MDD -19.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.1%, drawdown -59.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.9%, MDD -19.0%, Sharpe 0.79, 28% exposure.
CAGR reference leader: MACD — CAGR 16.4%, MDD -42.1%, exposure 46%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 8.4%, MDD -19.0%, exposure 19%).
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=24, k=1.7 |
15.9% | -19.0% | 0.79 | 0.84 | 2.4x | 34 | 28% |
| MACD fast=19, slow=28, signal=15 |
16.4% | -42.1% | 0.77 | 0.39 | 2.4x | 58 | 46% |
| Parabolic SAR step=0.01, maxStep=0.28 |
15.1% | -34.2% | 0.74 | 0.44 | 2.3x | 72 | 45% |
| ADX / DI 방향성 period=21, threshold=18 |
14.0% | -29.0% | 0.69 | 0.48 | 2.2x | 28 | 31% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=34, mult=1.4 |
13.0% | -22.2% | 0.67 | 0.58 | 2.0x | 36 | 27% |
| Supertrend period=15, mult=2.3 |
10.6% | -30.2% | 0.56 | 0.35 | 1.8x | 50 | 46% |
| EMA 크로스오버 fast=63, slow=280 |
9.0% | -28.8% | 0.55 | 0.31 | 1.7x | 3 | 31% |
| SMA 크로스오버 fast=20, slow=264 |
8.8% | -28.8% | 0.52 | 0.30 | 1.6x | 5 | 35% |
| Donchian 채널 돌파 entryN=51, exitN=11 |
8.4% | -19.0% | 0.50 | 0.44 | 1.6x | 20 | 19% |
| ROC 모멘텀 n=115, threshold=-0.03 |
8.6% | -28.8% | 0.46 | 0.30 | 1.6x | 43 | 49% |
| Buy and hold | 3.1% | -59.6% | 0.26 | 0.05 | 1.2x | 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 24-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 24-day middle average