Trend-Following Backtester · Guide · backtest 한국어

etf · HK

CSOP NASDAQ-100 Index Daily (2x) Leveraged Product ETF backtest

10 trend-following strategies were compared on the full daily history of CSOP NASDAQ-100 Index Daily (2x) Leveraged Product ETF. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2020-05-15 ~ 2026-07-31daily bars 1,525 (6.2 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 32.4%, drawdown -63.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.1%, MDD -29.4%, Sharpe 0.84, 55% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 22.3%, MDD -31.3%, exposure 71%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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
Keltner 채널 돌파
emaPeriod=31, atrPeriod=20, mult=1.3
19.1%-29.4%0.840.653.0x6855%
EMA 크로스오버
fast=30, slow=93
22.3%-31.3%0.830.713.5x971%
SMA 크로스오버
fast=33, slow=162
19.8%-29.5%0.780.673.1x766%
ROC 모멘텀
n=90, threshold=-0.02
19.1%-31.6%0.740.603.0x4569%
Donchian 채널 돌파
entryN=72, exitN=69
18.7%-30.6%0.720.612.9x969%
Supertrend
period=24, mult=4.6
16.3%-37.5%0.720.442.6x4458%
ADX / DI 방향성
period=16, threshold=12
15.3%-31.1%0.700.492.4x9852%
Parabolic SAR
step=0.025, maxStep=0.12
15.8%-53.5%0.630.302.5x11461%
볼린저 밴드 돌파
n=31, k=1.2
12.3%-36.4%0.610.342.1x5250%
MACD
fast=9, slow=50, signal=18
5.6%-47.3%0.340.121.4x8448%
Buy and hold32.4%-63.1%0.840.515.7x1100%
1x 2021 2022 2023 2024 2025 2026 EMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -16% -32% -47% -63% 2021 2022 2023 2024 2025 2026 Buy and holdEMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -29.4% (2024-07-11 → 2025-05-09), recovered after 455 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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