Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP STAR 50 Index ETF backtest
10 trend-following strategies were compared on the full daily history of CSOP STAR 50 Index ETF. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.2%, MDD -28.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.4%, drawdown -65.3%).
Sharpe leader (same as main): MACD — CAGR 17.9%, MDD -39.2%, Sharpe 0.71, 44% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 26.1%p (CAGR 12.2%, MDD -28.7%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=50, signal=19 |
17.9% | -39.2% | 0.71 | 0.46 | 2.5x | 52 | 44% |
| EMA 크로스오버 fast=61, slow=235 |
12.2% | -28.7% | 0.61 | 0.42 | 1.9x | 3 | 34% |
| Supertrend period=17, mult=2.6 |
13.3% | -38.3% | 0.61 | 0.35 | 2.0x | 58 | 42% |
| 볼린저 밴드 돌파 n=24, k=1.5 |
12.5% | -39.7% | 0.56 | 0.31 | 1.9x | 40 | 29% |
| SMA 크로스오버 fast=53, slow=153 |
9.3% | -29.6% | 0.49 | 0.32 | 1.6x | 7 | 38% |
| ROC 모멘텀 n=146, threshold=-0.02 |
9.8% | -38.3% | 0.46 | 0.26 | 1.7x | 31 | 44% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=25, mult=2.1 |
8.0% | -39.8% | 0.42 | 0.20 | 1.5x | 32 | 22% |
| Donchian 채널 돌파 entryN=30, exitN=71 |
7.6% | -41.2% | 0.39 | 0.19 | 1.5x | 13 | 62% |
| Parabolic SAR step=0.01, maxStep=0.26 |
6.9% | -52.9% | 0.38 | 0.13 | 1.4x | 67 | 45% |
| ADX / DI 방향성 period=15, threshold=16 |
4.5% | -44.9% | 0.30 | 0.10 | 1.3x | 80 | 39% |
| Buy and hold | 4.4% | -65.3% | 0.31 | 0.07 | 1.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/50) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line