Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Global X Hang Seng High Dividend Yield ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Hang Seng High Dividend Yield ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.0%, MDD -23.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.5%, drawdown -49.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -23.7%, Sharpe 0.38, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 5.0%, MDD -23.7%, exposure 56%).
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=31, slow=109 |
5.0% | -23.7% | 0.38 | 0.21 | 1.9x | 28 | 56% |
| EMA 크로스오버 fast=43, slow=55 |
4.3% | -32.9% | 0.34 | 0.13 | 1.7x | 32 | 58% |
| Donchian 채널 돌파 entryN=76, exitN=61 |
2.7% | -25.8% | 0.25 | 0.10 | 1.4x | 24 | 49% |
| ROC 모멘텀 n=89, threshold=-0.01 |
2.4% | -32.2% | 0.23 | 0.08 | 1.4x | 80 | 59% |
| 볼린저 밴드 돌파 n=42, k=2.2 |
2.0% | -23.0% | 0.21 | 0.08 | 1.3x | 42 | 27% |
| Supertrend period=27, mult=4.4 |
1.7% | -35.1% | 0.19 | 0.05 | 1.3x | 83 | 54% |
| MACD fast=16, slow=44, signal=16 |
0.1% | -51.3% | 0.09 | 0.00 | 1.0x | 143 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=3.9 |
-0.2% | -32.0% | 0.06 | -0.01 | 1.0x | 46 | 32% |
| ADX / DI 방향성 period=22, threshold=28 |
-0.1% | -24.4% | 0.01 | -0.00 | 1.0x | 28 | 14% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.8% | -50.5% | -0.04 | -0.03 | 0.8x | 113 | 52% |
| Buy and hold | 3.5% | -49.7% | 0.27 | 0.07 | 1.6x | 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 31-day average price crosses above the 109-day average
- Sell — Sell (to cash) when the 31-day average falls below the 109-day average