Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC Hang Seng Biotech ETF HKD Counter backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC Hang Seng Biotech ETF HKD Counter. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -8.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.7%, drawdown -75.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -8.4%, Sharpe 0.56, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -28.7%, exposure 27%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 66.7%p (CAGR 3.9%, MDD -8.4%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=21, threshold=27 |
3.9% | -8.4% | 0.56 | 0.46 | 1.2x | 2 | 4% |
| Donchian 채널 돌파 entryN=82, exitN=72 |
9.1% | -28.7% | 0.52 | 0.32 | 1.6x | 4 | 27% |
| EMA 크로스오버 fast=19, slow=34 |
9.0% | -33.9% | 0.48 | 0.27 | 1.6x | 21 | 37% |
| SMA 크로스오버 fast=12, slow=34 |
8.6% | -40.8% | 0.45 | 0.21 | 1.6x | 37 | 41% |
| ROC 모멘텀 n=139, threshold=-0.03 |
8.0% | -34.4% | 0.45 | 0.23 | 1.5x | 22 | 38% |
| Supertrend period=17, mult=2.8 |
5.9% | -34.8% | 0.35 | 0.17 | 1.4x | 43 | 45% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=2.3 |
4.8% | -25.7% | 0.33 | 0.19 | 1.3x | 16 | 25% |
| 볼린저 밴드 돌파 n=39, k=2.5 |
3.8% | -28.8% | 0.30 | 0.13 | 1.2x | 14 | 20% |
| MACD fast=9, slow=73, signal=18 |
-5.5% | -57.9% | -0.06 | -0.10 | 0.7x | 61 | 45% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-7.3% | -58.9% | -0.14 | -0.12 | 0.7x | 116 | 45% |
| Buy and hold | -9.7% | -75.2% | -0.06 | -0.13 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 21-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)