Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Tracker Fund of Hong Kong backtest
10 trend-following strategies were compared on the full daily history of Tracker Fund of Hong Kong. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -3.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.3%, drawdown -58.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.2%, MDD -36.4%, Sharpe 0.30, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 0.2%, MDD -3.2%, exposure 1%).
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=30, slow=127 |
3.2% | -36.4% | 0.30 | 0.09 | 1.8x | 44 | 50% |
| EMA 크로스오버 fast=36, slow=98 |
2.1% | -36.2% | 0.23 | 0.06 | 1.5x | 44 | 52% |
| 볼린저 밴드 돌파 n=30, k=3.1 |
0.8% | -14.5% | 0.20 | 0.06 | 1.2x | 8 | 3% |
| Donchian 채널 돌파 entryN=77, exitN=75 |
1.8% | -33.1% | 0.20 | 0.05 | 1.4x | 28 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=3.4 |
1.1% | -27.7% | 0.16 | 0.04 | 1.2x | 50 | 26% |
| ADX / DI 방향성 period=38, threshold=26 |
0.2% | -3.2% | 0.14 | 0.05 | 1.0x | 2 | 1% |
| Supertrend period=21, mult=4.3 |
-0.2% | -48.0% | 0.07 | -0.00 | 1.0x | 87 | 52% |
| ROC 모멘텀 n=106, threshold=-0.02 |
-0.2% | -55.3% | 0.06 | -0.00 | 1.0x | 138 | 57% |
| MACD fast=17, slow=36, signal=18 |
-3.0% | -71.4% | -0.12 | -0.04 | 0.6x | 223 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.5% | -78.8% | -0.29 | -0.07 | 0.4x | 173 | 52% |
| Buy and hold | -0.3% | -58.7% | 0.11 | -0.00 | 0.9x | 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 30-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 30-day average falls below the 127-day average