Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Global X China Semiconductor ETF HKD Counter backtest
10 trend-following strategies were compared on the full daily history of Global X China Semiconductor ETF HKD Counter. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -28.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.4%, drawdown -60.6%).
Sharpe leader (same as main): MACD — CAGR 17.5%, MDD -40.1%, Sharpe 0.73, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 8.8%, MDD -28.7%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=51, signal=7 |
17.5% | -40.1% | 0.73 | 0.44 | 2.7x | 88 | 47% |
| ROC 모멘텀 n=161, threshold=0.03 |
15.1% | -37.2% | 0.63 | 0.41 | 2.3x | 27 | 42% |
| EMA 크로스오버 fast=53, slow=184 |
13.6% | -37.2% | 0.60 | 0.37 | 2.2x | 5 | 42% |
| SMA 크로스오버 fast=24, slow=186 |
12.8% | -39.9% | 0.57 | 0.32 | 2.1x | 7 | 42% |
| Donchian 채널 돌파 entryN=11, exitN=78 |
12.3% | -48.7% | 0.51 | 0.25 | 2.0x | 21 | 83% |
| 볼린저 밴드 돌파 n=31, k=2.3 |
8.8% | -28.7% | 0.48 | 0.31 | 1.7x | 24 | 22% |
| Parabolic SAR step=0.01, maxStep=0.26 |
9.4% | -41.3% | 0.46 | 0.23 | 1.7x | 62 | 50% |
| Supertrend period=36, mult=2.4 |
9.2% | -61.0% | 0.46 | 0.15 | 1.7x | 128 | 47% |
| ADX / DI 방향성 period=16, threshold=33 |
5.9% | -27.4% | 0.42 | 0.21 | 1.4x | 6 | 8% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=9, mult=3.2 |
6.1% | -50.3% | 0.36 | 0.12 | 1.4x | 40 | 29% |
| Buy and hold | 9.4% | -60.6% | 0.43 | 0.15 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/51) crosses above its 7-day signal line
- Sell — Sell when the MACD line crosses back below the signal line