Trend-Following Backtester · Guide · backtest 한국어
etf · HK
ChinaAMC CSI 300 Index ETF HKD backtest
10 trend-following strategies were compared on the full daily history of ChinaAMC CSI 300 Index ETF HKD. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.9%, MDD -23.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -51.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.9%, MDD -23.6%, Sharpe 0.41, 25% exposure.
CAGR reference leader: Supertrend — CAGR 5.8%, MDD -42.0%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 27.5%p (CAGR 4.9%, MDD -23.6%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=23, mult=3.1 |
4.9% | -23.6% | 0.41 | 0.21 | 1.9x | 38 | 25% |
| Supertrend period=28, mult=4.8 |
5.8% | -42.0% | 0.40 | 0.14 | 2.2x | 44 | 50% |
| Donchian 채널 돌파 entryN=76, exitN=63 |
4.9% | -40.2% | 0.38 | 0.12 | 2.0x | 22 | 48% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
4.6% | -30.2% | 0.35 | 0.15 | 1.9x | 90 | 42% |
| SMA 크로스오버 fast=12, slow=46 |
5.1% | -47.7% | 0.34 | 0.11 | 2.0x | 80 | 54% |
| EMA 크로스오버 fast=36, slow=86 |
3.2% | -52.8% | 0.26 | 0.06 | 1.5x | 29 | 56% |
| ADX / DI 방향성 period=28, threshold=15 |
0.9% | -42.0% | 0.14 | 0.02 | 1.1x | 82 | 31% |
| ROC 모멘텀 n=149, threshold=0.04 |
0.0% | -55.3% | 0.10 | 0.00 | 1.0x | 103 | 44% |
| MACD fast=19, slow=38, signal=23 |
-1.3% | -55.8% | 0.04 | -0.02 | 0.8x | 152 | 50% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-2.6% | -55.6% | -0.04 | -0.05 | 0.7x | 184 | 53% |
| Buy and hold | 6.0% | -51.1% | 0.35 | 0.12 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 44-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average