Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC NASDAQ 100 ETF HKD backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC NASDAQ 100 ETF HKD. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.1%, MDD -23.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.3%, drawdown -35.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.4%, MDD -27.0%, Sharpe 1.02, 77% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 8.4%p (CAGR 16.1%, MDD -23.9%, exposure 79%).
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=15, slow=220 |
16.4% | -27.0% | 1.02 | 0.61 | 4.9x | 9 | 77% |
| EMA 크로스오버 fast=7, slow=152 |
16.1% | -23.9% | 1.02 | 0.67 | 4.7x | 17 | 79% |
| ROC 모멘텀 n=88, threshold=-0.01 |
15.2% | -25.4% | 0.95 | 0.60 | 4.4x | 43 | 80% |
| Donchian 채널 돌파 entryN=80, exitN=80 |
13.8% | -20.7% | 0.91 | 0.67 | 3.9x | 13 | 77% |
| Supertrend period=16, mult=5 |
10.5% | -17.1% | 0.82 | 0.61 | 2.8x | 64 | 66% |
| Parabolic SAR step=0.005, maxStep=0.04 |
10.3% | -21.3% | 0.78 | 0.48 | 2.8x | 66 | 69% |
| MACD fast=40, slow=59, signal=24 |
8.8% | -23.3% | 0.75 | 0.38 | 2.4x | 68 | 52% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=2.5 |
7.4% | -21.0% | 0.68 | 0.35 | 2.1x | 78 | 55% |
| 볼린저 밴드 돌파 n=45, k=1.4 |
5.9% | -29.9% | 0.53 | 0.20 | 1.8x | 68 | 58% |
| ADX / DI 방향성 period=30, threshold=6 |
6.0% | -24.8% | 0.49 | 0.24 | 1.8x | 132 | 69% |
| Buy and hold | 20.3% | -35.3% | 0.96 | 0.57 | 6.9x | 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 15-day average price crosses above the 220-day average
- Sell — Sell (to cash) when the 15-day average falls below the 220-day average