Trend-Following Backtester · Guide · backtest 한국어
etf · CN
ChinaAMC SZSE ChiNext Momentum Growth Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC SZSE ChiNext Momentum Growth Exchange Traded Fund Units. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.5%, MDD -21.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.7%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.0%, MDD -74.5%, Sharpe 0.47, 65% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.8%p higher than buy and hold, while drawdown improves by 9.3%p (CAGR 5.5%, MDD -21.4%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=36 |
20.0% | -74.5% | 0.47 | 0.27 | 3.7x | 26 | 65% |
| Supertrend period=8, mult=3.1 |
17.9% | -73.2% | 0.45 | 0.24 | 3.2x | 38 | 53% |
| MACD fast=17, slow=49, signal=17 |
17.8% | -78.3% | 0.45 | 0.23 | 3.2x | 64 | 52% |
| 볼린저 밴드 돌파 n=33, k=1 |
17.7% | -73.2% | 0.45 | 0.24 | 3.2x | 50 | 39% |
| ROC 모멘텀 n=115, threshold=0.02 |
12.9% | -76.0% | 0.41 | 0.17 | 2.4x | 41 | 53% |
| SMA 크로스오버 fast=19, slow=216 |
13.2% | -74.5% | 0.41 | 0.18 | 2.4x | 5 | 46% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=1.5 |
12.6% | -73.2% | 0.40 | 0.17 | 2.3x | 46 | 33% |
| ADX / DI 방향성 period=15, threshold=28 |
5.5% | -21.4% | 0.39 | 0.26 | 1.5x | 28 | 15% |
| EMA 크로스오버 fast=44, slow=121 |
10.7% | -75.3% | 0.39 | 0.14 | 2.1x | 7 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-9.1% | -76.7% | 0.27 | -0.12 | 0.5x | 88 | 48% |
| Buy and hold | -4.7% | -83.8% | 0.33 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 36 days