Trend-Following Backtester · Guide · backtest 한국어
etf · CN
ChinaAMC State Securities Semiconductor Chip Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC State Securities Semiconductor Chip Exchange Traded Fund Units. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.1%, MDD -26.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.6%, drawdown -68.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 19.4%, MDD -30.9%, Sharpe 0.80, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 13.1%, MDD -26.4%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.1 |
19.4% | -30.9% | 0.80 | 0.63 | 3.2x | 96 | 48% |
| MACD fast=14, slow=46, signal=6 |
18.6% | -29.4% | 0.79 | 0.63 | 3.0x | 102 | 47% |
| Donchian 채널 돌파 entryN=11, exitN=3 |
13.1% | -26.4% | 0.67 | 0.50 | 2.2x | 86 | 27% |
| 볼린저 밴드 돌파 n=12, k=1.2 |
13.4% | -33.1% | 0.64 | 0.40 | 2.3x | 114 | 36% |
| Supertrend period=28, mult=1.9 |
12.2% | -31.0% | 0.59 | 0.40 | 2.1x | 76 | 42% |
| ROC 모멘텀 n=160, threshold=0.04 |
7.9% | -55.9% | 0.44 | 0.14 | 1.6x | 26 | 43% |
| ADX / DI 방향성 period=19, threshold=19 |
5.7% | -55.9% | 0.37 | 0.10 | 1.4x | 44 | 27% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=9, mult=2.8 |
4.8% | -55.9% | 0.35 | 0.09 | 1.4x | 20 | 23% |
| EMA 크로스오버 fast=5, slow=184 |
3.5% | -56.0% | 0.31 | 0.06 | 1.2x | 20 | 44% |
| SMA 크로스오버 fast=34, slow=315 |
1.3% | -68.1% | 0.24 | 0.02 | 1.1x | 5 | 41% |
| Buy and hold | 1.6% | -68.1% | 0.28 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots