Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Dacheng Hang Seng Technology ETF (QDII) backtest
10 trend-following strategies were compared on the full daily history of Dacheng Hang Seng Technology ETF (QDII). 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 0.9%, MDD -8.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.4%, drawdown -62.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -15.2%, Sharpe 0.55, 24% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 0.9%, MDD -8.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=1.7 |
8.1% | -15.2% | 0.55 | 0.53 | 1.5x | 14 | 24% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=1.7 |
7.8% | -13.7% | 0.53 | 0.57 | 1.5x | 14 | 27% |
| MACD fast=21, slow=38, signal=18 |
7.4% | -34.4% | 0.43 | 0.22 | 1.4x | 39 | 48% |
| Donchian 채널 돌파 entryN=45, exitN=12 |
5.3% | -20.5% | 0.41 | 0.26 | 1.3x | 14 | 20% |
| ROC 모멘텀 n=29, threshold=0.12 |
3.2% | -15.3% | 0.31 | 0.21 | 1.2x | 38 | 12% |
| SMA 크로스오버 fast=58, slow=185 |
2.6% | -23.9% | 0.23 | 0.11 | 1.1x | 6 | 45% |
| Supertrend period=29, mult=3 |
2.1% | -37.1% | 0.21 | 0.06 | 1.1x | 35 | 42% |
| ADX / DI 방향성 period=21, threshold=32 |
0.9% | -8.9% | 0.16 | 0.10 | 1.0x | 6 | 5% |
| EMA 크로스오버 fast=6, slow=96 |
-0.0% | -30.7% | 0.10 | -0.00 | 1.0x | 20 | 38% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-9.5% | -54.3% | -0.33 | -0.18 | 0.6x | 105 | 48% |
| Buy and hold | -9.4% | -62.2% | -0.14 | -0.15 | 0.6x | 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 44-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 44-day middle average