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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.5%, MDD -29.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.5%, drawdown -64.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -29.1%, Sharpe 0.59, 40% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.1%, MDD -34.1%, exposure 41%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 11.5%, MDD -29.1%, exposure 37%).
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=36, slow=250 |
12.0% | -29.1% | 0.59 | 0.41 | 1.8x | 3 | 40% |
| EMA 크로스오버 fast=53, slow=211 |
11.5% | -29.1% | 0.57 | 0.39 | 1.7x | 3 | 37% |
| ROC 모멘텀 n=170, threshold=-0.01 |
13.1% | -34.1% | 0.57 | 0.38 | 1.9x | 25 | 41% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=17, mult=2.3 |
11.7% | -33.3% | 0.57 | 0.35 | 1.8x | 26 | 23% |
| Supertrend period=28, mult=3.1 |
11.8% | -31.4% | 0.56 | 0.38 | 1.8x | 42 | 42% |
| 볼린저 밴드 돌파 n=25, k=2.8 |
9.9% | -33.3% | 0.56 | 0.30 | 1.6x | 8 | 9% |
| Parabolic SAR step=0.015, maxStep=0.06 |
11.1% | -35.7% | 0.53 | 0.31 | 1.7x | 52 | 42% |
| MACD fast=12, slow=45, signal=15 |
11.1% | -42.2% | 0.52 | 0.26 | 1.7x | 58 | 46% |
| ADX / DI 방향성 period=23, threshold=17 |
11.0% | -33.3% | 0.52 | 0.33 | 1.7x | 32 | 29% |
| Donchian 채널 돌파 entryN=90, exitN=54 |
4.4% | -34.4% | 0.30 | 0.13 | 1.2x | 8 | 34% |
| Buy and hold | 3.5% | -64.6% | 0.28 | 0.05 | 1.2x | 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 36-day average price crosses above the 250-day average
- Sell — Sell (to cash) when the 36-day average falls below the 250-day average