Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hang Seng TECH Index ETF backtest
10 trend-following strategies were compared on the full daily history of CSOP Hang Seng TECH Index ETF. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.0%, MDD -20.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.6%, drawdown -74.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -26.3%, Sharpe 0.36, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 48.4%p (CAGR 3.0%, MDD -20.9%, exposure 4%).
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=22, exitN=15 |
5.6% | -26.3% | 0.36 | 0.21 | 1.4x | 28 | 37% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=3.2 |
3.0% | -20.9% | 0.31 | 0.14 | 1.2x | 6 | 4% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
3.8% | -26.0% | 0.30 | 0.15 | 1.2x | 16 | 20% |
| Parabolic SAR step=0.005, maxStep=0.16 |
3.6% | -53.9% | 0.27 | 0.07 | 1.2x | 41 | 45% |
| MACD fast=14, slow=57, signal=18 |
3.2% | -55.9% | 0.26 | 0.06 | 1.2x | 49 | 47% |
| ROC 모멘텀 n=20, threshold=0.08 |
3.0% | -29.1% | 0.25 | 0.10 | 1.2x | 87 | 16% |
| Supertrend period=25, mult=2.9 |
2.6% | -47.5% | 0.23 | 0.05 | 1.2x | 43 | 45% |
| ADX / DI 방향성 period=28, threshold=33 |
1.2% | -21.8% | 0.18 | 0.05 | 1.1x | 2 | 5% |
| SMA 크로스오버 fast=31, slow=45 |
1.2% | -42.9% | 0.18 | 0.03 | 1.1x | 36 | 44% |
| EMA 크로스오버 fast=32, slow=83 |
-0.3% | -48.9% | 0.10 | -0.01 | 1.0x | 12 | 36% |
| Buy and hold | -7.6% | -74.7% | -0.01 | -0.10 | 0.6x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 15 days