Trend-Following Backtester · Guide · backtest 한국어
etf · CN
China Securities Animation Game ETF backtest
10 trend-following strategies were compared on the full daily history of China Securities Animation Game ETF. 9 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 11.0%, MDD -22.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.9%, drawdown -57.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.0%, MDD -25.6%, Sharpe 0.80, 30% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 11.0%, MDD -22.4%, exposure 24%).
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=48, k=2.2 |
17.0% | -25.6% | 0.80 | 0.66 | 2.3x | 14 | 30% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=26, mult=2.5 |
14.1% | -22.8% | 0.74 | 0.62 | 2.1x | 20 | 25% |
| Supertrend period=29, mult=2.7 |
16.5% | -34.3% | 0.73 | 0.48 | 2.3x | 36 | 44% |
| EMA 크로스오버 fast=32, slow=105 |
14.3% | -30.9% | 0.66 | 0.46 | 2.1x | 6 | 43% |
| Donchian 채널 돌파 entryN=71, exitN=22 |
11.0% | -22.4% | 0.59 | 0.49 | 1.8x | 10 | 24% |
| ADX / DI 방향성 period=14, threshold=19 |
12.2% | -35.5% | 0.58 | 0.34 | 1.9x | 54 | 41% |
| SMA 크로스오버 fast=8, slow=49 |
12.1% | -38.8% | 0.56 | 0.31 | 1.9x | 26 | 48% |
| ROC 모멘텀 n=43, threshold=0.08 |
9.6% | -37.2% | 0.50 | 0.26 | 1.6x | 44 | 32% |
| MACD fast=14, slow=44, signal=8 |
7.4% | -54.4% | 0.40 | 0.14 | 1.5x | 77 | 52% |
| Parabolic SAR step=0.035, maxStep=0.18 |
1.9% | -47.9% | 0.21 | 0.04 | 1.1x | 149 | 51% |
| Buy and hold | 1.9% | -57.7% | 0.24 | 0.03 | 1.1x | 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 48-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 48-day middle average