Trend-Following Backtester · Guide · backtest 한국어
etf · GB
HSBC FTSE 100 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of HSBC FTSE 100 UCITS ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.8%, drawdown -37.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.5%, MDD -28.1%, Sharpe 0.30, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 98% entryN=1, exitN=102 |
3.5% | -28.1% | 0.30 | 0.12 | 1.8x | 47 | 98% |
| SMA 크로스오버 fast=44, slow=197 |
2.5% | -28.4% | 0.29 | 0.09 | 1.5x | 27 | 66% |
| ROC 모멘텀 n=134, threshold=-0.08 |
2.6% | -28.2% | 0.27 | 0.09 | 1.5x | 31 | 87% |
| ADX / DI 방향성 period=26, threshold=33 |
0.2% | -3.3% | 0.24 | 0.06 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=49, slow=113 |
1.2% | -31.3% | 0.17 | 0.04 | 1.2x | 33 | 69% |
| 볼린저 밴드 돌파 n=41, k=2.8 |
-0.1% | -10.6% | -0.02 | -0.01 | 1.0x | 14 | 5% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=26, mult=3.3 |
-0.1% | -5.3% | -0.04 | -0.02 | 1.0x | 12 | 3% |
| Supertrend period=29, mult=5 |
-2.6% | -55.9% | -0.20 | -0.05 | 0.6x | 79 | 63% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.6% | -65.5% | -0.40 | -0.07 | 0.5x | 153 | 57% |
| MACD fast=20, slow=40, signal=19 |
-6.7% | -70.9% | -0.68 | -0.10 | 0.3x | 205 | 49% |
| Buy and hold | 4.8% | -37.2% | 0.38 | 0.13 | 2.2x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 102 days