Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Yinhua CSI Brand Name Drug Industry ETF backtest
10 trend-following strategies were compared on the full daily history of Yinhua CSI Brand Name Drug Industry ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.0%, MDD -15.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.7%, drawdown -63.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.0%, MDD -15.4%, Sharpe 0.53, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 4.0%, MDD -15.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=28 |
4.0% | -15.4% | 0.53 | 0.26 | 1.3x | 8 | 6% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=11, mult=3.6 |
3.5% | -17.8% | 0.38 | 0.20 | 1.2x | 6 | 7% |
| 볼린저 밴드 돌파 n=50, k=2.6 |
2.5% | -28.7% | 0.26 | 0.09 | 1.2x | 10 | 15% |
| SMA 크로스오버 fast=47, slow=237 |
1.9% | -23.6% | 0.21 | 0.08 | 1.1x | 6 | 31% |
| EMA 크로스오버 fast=57, slow=158 |
1.1% | -31.7% | 0.15 | 0.04 | 1.1x | 8 | 32% |
| Supertrend period=28, mult=3.7 |
-0.9% | -43.3% | 0.05 | -0.02 | 0.9x | 31 | 40% |
| MACD fast=18, slow=34, signal=19 |
-1.7% | -42.8% | 0.03 | -0.04 | 0.9x | 67 | 47% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.4% | -61.1% | -0.06 | -0.06 | 0.8x | 57 | 46% |
| Donchian 채널 돌파 entryN=43, exitN=71 |
-3.5% | -57.0% | -0.07 | -0.06 | 0.8x | 13 | 48% |
| ROC 모멘텀 n=57, threshold=0.14 |
-1.8% | -35.9% | -0.09 | -0.05 | 0.9x | 36 | 13% |
| Buy and hold | -2.7% | -63.2% | 0.05 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)