Trend-Following Backtester · Guide · backtest 한국어
etf · HK
iShares NASDAQ 100 ETF HKD Counter backtest
10 trend-following strategies were compared on the full daily history of iShares NASDAQ 100 ETF HKD Counter. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 47.9%, drawdown -35.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.7%, MDD -20.7%, Sharpe 1.08, 75% exposure.
CAGR reference leader: MACD — CAGR 27.5%, MDD -29.0%, exposure 51%.
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 entryN=87, exitN=65 |
16.7% | -20.7% | 1.08 | 0.81 | 4.8x | 13 | 75% |
| EMA 크로스오버 fast=39, slow=135 |
18.4% | -30.7% | 1.07 | 0.60 | 5.6x | 9 | 80% |
| SMA 크로스오버 fast=16, slow=211 |
16.9% | -27.1% | 1.03 | 0.62 | 4.9x | 11 | 77% |
| ROC 모멘텀 n=145, threshold=0.03 |
16.4% | -23.9% | 1.02 | 0.69 | 4.7x | 31 | 78% |
| Supertrend period=14, mult=5 |
12.3% | -19.0% | 0.96 | 0.65 | 3.3x | 55 | 65% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=1.8 |
9.0% | -18.2% | 0.78 | 0.49 | 2.4x | 96 | 57% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.4% | -27.1% | 0.58 | 0.27 | 2.1x | 83 | 66% |
| 볼린저 밴드 돌파 n=35, k=1.7 |
5.9% | -25.5% | 0.57 | 0.23 | 1.8x | 70 | 49% |
| ADX / DI 방향성 period=37, threshold=36 |
1.5% | -11.1% | 0.49 | 0.14 | 1.2x | 2 | 4% |
| MACD fast=14, slow=59, signal=15 |
27.5% | -29.0% | 0.33 | 0.95 | 11.9x | 128 | 51% |
| Buy and hold | 47.9% | -35.0% | 0.38 | 1.37 | 53.9x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 65 days