Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Hang Seng Invt. Series - Hang Seng TECH Index ETF backtest
10 trend-following strategies were compared on the full daily history of Hang Seng Invt. Series - Hang Seng TECH Index ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -19.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.1%, drawdown -74.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.9%, MDD -19.9%, Sharpe 0.43, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -30.9%, exposure 39%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 54.7%p (CAGR 4.9%, MDD -19.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=3.1 |
4.9% | -19.9% | 0.43 | 0.25 | 1.3x | 6 | 6% |
| Donchian 채널 돌파 entryN=21, exitN=17 |
6.4% | -30.9% | 0.39 | 0.21 | 1.4x | 26 | 39% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=22, mult=3.8 |
3.0% | -21.1% | 0.30 | 0.14 | 1.2x | 6 | 4% |
| MACD fast=12, slow=44, signal=24 |
3.3% | -58.1% | 0.26 | 0.06 | 1.2x | 49 | 47% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.1% | -54.1% | 0.25 | 0.06 | 1.2x | 43 | 46% |
| Supertrend period=29, mult=4.9 |
1.3% | -33.3% | 0.18 | 0.04 | 1.1x | 16 | 34% |
| ROC 모멘텀 n=144, threshold=0.08 |
1.3% | -28.1% | 0.17 | 0.05 | 1.1x | 48 | 26% |
| EMA 크로스오버 fast=15, slow=158 |
0.5% | -29.1% | 0.13 | 0.02 | 1.0x | 12 | 31% |
| SMA 크로스오버 fast=13, slow=208 |
-0.5% | -38.4% | 0.09 | -0.01 | 1.0x | 12 | 34% |
| ADX / DI 방향성 period=10, threshold=30 |
-2.0% | -33.4% | -0.06 | -0.06 | 0.9x | 38 | 11% |
| Buy and hold | -8.1% | -74.5% | -0.03 | -0.11 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 31-day middle average