Trend-Following Backtester · Guide · backtest 한국어
etf · HK
iShares Core Hang Seng Index ETF HKD backtest
10 trend-following strategies were compared on the full daily history of iShares Core Hang Seng Index ETF HKD. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.7%, MDD -25.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.7%, drawdown -54.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.7%, MDD -25.4%, Sharpe 0.33, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 3.7%, MDD -25.4%, exposure 44%).
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=83, exitN=78 |
3.7% | -25.4% | 0.33 | 0.15 | 1.4x | 10 | 44% |
| SMA 크로스오버 fast=78, slow=189 |
2.5% | -29.4% | 0.24 | 0.09 | 1.3x | 12 | 47% |
| EMA 크로스오버 fast=49, slow=81 |
2.1% | -34.9% | 0.22 | 0.06 | 1.2x | 22 | 51% |
| ROC 모멘텀 n=108, threshold=0 |
1.1% | -36.3% | 0.15 | 0.03 | 1.1x | 60 | 49% |
| Supertrend period=29, mult=4.1 |
0.4% | -44.5% | 0.10 | 0.01 | 1.0x | 57 | 47% |
| 볼린저 밴드 돌파 n=77, k=3.4 |
0.1% | -16.8% | 0.05 | 0.01 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=2.6 |
-0.2% | -28.5% | 0.04 | -0.01 | 1.0x | 34 | 31% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.9% | -56.3% | 0.02 | -0.02 | 0.9x | 79 | 52% |
| ADX / DI 방향성 period=23, threshold=19 |
-1.6% | -28.8% | -0.08 | -0.06 | 0.9x | 44 | 27% |
| MACD fast=18, slow=30, signal=22 |
-4.1% | -59.7% | -0.20 | -0.07 | 0.7x | 113 | 48% |
| Buy and hold | 1.7% | -54.5% | 0.19 | 0.03 | 1.2x | 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 83 days
- Sell — Sell when price breaks below the lowest low of the last 78 days