Trend-Following Backtester · Guide · backtest 한국어
etf · CN
CCB Yisheng Zhengshang Energy & Chemical ETF backtest
10 trend-following strategies were compared on the full daily history of CCB Yisheng Zhengshang Energy & Chemical ETF. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 8.9%, MDD -37.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.5%, drawdown -48.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -42.1%, Sharpe 0.62, 55% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 6.2%p (CAGR 8.9%, MDD -37.8%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=33 |
10.6% | -42.1% | 0.62 | 0.25 | 2.0x | 51 | 55% |
| 볼린저 밴드 돌파 n=36, k=1.5 |
8.9% | -37.9% | 0.57 | 0.23 | 1.8x | 41 | 39% |
| Parabolic SAR step=0.005, maxStep=0.22 |
8.9% | -37.8% | 0.56 | 0.23 | 1.8x | 49 | 50% |
| Donchian 채널 돌파 entryN=116, exitN=47 |
8.8% | -41.9% | 0.55 | 0.21 | 1.8x | 8 | 49% |
| EMA 크로스오버 fast=41, slow=107 |
8.4% | -42.9% | 0.51 | 0.20 | 1.7x | 9 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=2.4 |
6.8% | -44.0% | 0.47 | 0.15 | 1.6x | 28 | 35% |
| Supertrend period=15, mult=3.1 |
6.0% | -44.0% | 0.41 | 0.14 | 1.5x | 50 | 49% |
| ROC 모멘텀 n=69, threshold=0.1 |
5.1% | -42.3% | 0.38 | 0.12 | 1.4x | 24 | 23% |
| ADX / DI 방향성 period=30, threshold=19 |
4.3% | -43.7% | 0.37 | 0.10 | 1.3x | 12 | 19% |
| MACD fast=12, slow=46, signal=18 |
4.0% | -44.4% | 0.31 | 0.09 | 1.3x | 79 | 51% |
| Buy and hold | 7.5% | -48.4% | 0.43 | 0.15 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 21-day average price crosses above the 33-day average
- Sell — Sell (to cash) when the 21-day average falls below the 33-day average