Trend-Following Backtester · Guide · backtest 한국어
etf · CN
ChinaAMC CSI 1000 Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC CSI 1000 Exchange Traded Fund. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 34.6%, drawdown -68.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -13.4%, Sharpe 0.78, 16% exposure.
CAGR reference leader: Parabolic SAR — CAGR 12.7%, MDD -72.1%, exposure 55%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=36, k=2.2 |
8.4% | -13.4% | 0.78 | 0.63 | 1.6x | 10 | 16% |
| ADX / DI 방향성 period=26, threshold=22 |
8.2% | -13.4% | 0.74 | 0.61 | 1.5x | 18 | 16% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=22, mult=2.1 |
7.1% | -13.4% | 0.67 | 0.53 | 1.5x | 20 | 19% |
| MACD fast=13, slow=27, signal=18 |
5.7% | -26.4% | 0.45 | 0.22 | 1.4x | 63 | 46% |
| Parabolic SAR step=0.04, maxStep=0.38 |
12.7% | -72.1% | 0.39 | 0.18 | 1.9x | 157 | 55% |
| Donchian 채널 돌파 entryN=113, exitN=61 |
3.8% | -18.1% | 0.33 | 0.21 | 1.2x | 4 | 39% |
| SMA 크로스오버 fast=14, slow=127 |
-1.9% | -68.1% | 0.26 | -0.03 | 0.9x | 14 | 45% |
| ROC 모멘텀 n=139, threshold=0.08 |
3.4% | -16.5% | 0.26 | 0.21 | 1.2x | 26 | 34% |
| EMA 크로스오버 fast=32, slow=194 |
-2.7% | -70.6% | 0.26 | -0.04 | 0.9x | 8 | 47% |
| Supertrend period=29, mult=1.8 |
-11.0% | -73.7% | -0.10 | -0.15 | 0.5x | 68 | 59% |
| Buy and hold | 34.6% | -68.4% | 0.57 | 0.51 | 5.1x | 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 36-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 36-day middle average