Trend-Following Backtester · Guide · backtest 한국어

etf · HK

Premia China STAR50 ETF HKD backtest

10 trend-following strategies were compared on the full daily history of Premia China STAR50 ETF HKD. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.2%, MDD -27.9%).

Data 2021-07-27 ~ 2026-07-31daily bars 1,228 (5.0 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 3.1%, drawdown -64.6%).

Sharpe leader (same as main): Parabolic SAR — CAGR 13.3%, MDD -35.7%, Sharpe 0.60, 43% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 11.2%, MDD -27.9%, exposure 36%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Parabolic SAR
step=0.015, maxStep=0.06
13.3%-35.7%0.600.371.9x5043%
SMA 크로스오버
fast=36, slow=250
11.7%-27.9%0.590.421.7x339%
MACD
fast=12, slow=45, signal=15
12.9%-42.2%0.580.311.8x5646%
Keltner 채널 돌파
emaPeriod=26, atrPeriod=17, mult=2.3
12.0%-33.3%0.570.361.8x2624%
EMA 크로스오버
fast=53, slow=211
11.2%-27.9%0.570.401.7x336%
Supertrend
period=28, mult=3.1
12.1%-31.4%0.570.381.8x4243%
볼린저 밴드 돌파
n=25, k=2.8
10.1%-33.3%0.560.301.6x810%
ROC 모멘텀
n=170, threshold=-0.01
12.9%-34.1%0.560.381.8x2540%
ADX / DI 방향성
period=23, threshold=17
11.5%-33.3%0.540.351.7x3029%
Donchian 채널 돌파
entryN=90, exitN=54
5.7%-34.4%0.340.171.3x735%
Buy and hold3.1%-64.6%0.270.051.2x1100%
1x 2022 2023 2024 2025 2026 Parabolic SARBuy and hold
Parabolic SAR: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -32% -48% -65% 2022 2023 2024 2025 2026 Buy and holdParabolic SAR
Parabolic SAR maximum drawdown -35.7% (2023-04-20 → 2024-08-21), recovered after 533 days.

Rules of the top strategy

Trades around the Parabolic SAR dots that accelerate toward price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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