Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hang Seng TECH Index Daily (2x) Leveraged Product backtest
10 trend-following strategies were compared on the full daily history of CSOP Hang Seng TECH Index Daily (2x) Leveraged Product. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.6%, drawdown -96.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -0.5%, Sharpe 0.55, 0% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 31.8%, MDD -61.9%, exposure 23%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 96.0%p (CAGR 2.2%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=33 |
2.2% | -0.5% | 0.55 | 4.40 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=23, k=1.9 |
31.8% | -61.9% | 0.45 | 0.51 | 4.9x | 36 | 23% |
| Supertrend period=33, mult=3.9 |
29.7% | -64.2% | 0.45 | 0.46 | 4.4x | 19 | 30% |
| ROC 모멘텀 n=20, threshold=0.08 |
28.5% | -62.6% | 0.44 | 0.45 | 4.2x | 106 | 27% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=15, mult=3.3 |
31.7% | -50.0% | 0.44 | 0.63 | 4.8x | 10 | 8% |
| SMA 크로스오버 fast=16, slow=30 |
21.6% | -65.4% | 0.42 | 0.33 | 3.1x | 50 | 39% |
| Parabolic SAR step=0.005, maxStep=0.24 |
17.8% | -83.6% | 0.41 | 0.21 | 2.6x | 41 | 45% |
| Donchian 채널 돌파 entryN=24, exitN=22 |
19.2% | -67.6% | 0.41 | 0.28 | 2.7x | 26 | 35% |
| MACD fast=18, slow=47, signal=15 |
7.2% | -70.2% | 0.40 | 0.10 | 1.5x | 48 | 46% |
| EMA 크로스오버 fast=30, slow=38 |
12.9% | -73.0% | 0.37 | 0.18 | 2.0x | 16 | 29% |
| Buy and hold | -13.6% | -96.5% | 0.32 | -0.14 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)