Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hang Seng Index Daily (-1) Inverse Product backtest
10 trend-following strategies were compared on the full daily history of CSOP Hang Seng Index Daily (-1) Inverse Product. 9 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 0.0%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.1%, drawdown -57.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.0%, MDD -0.5%, Sharpe 0.05, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 0.0%, 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=22, threshold=33 |
0.0% | -0.5% | 0.05 | 0.03 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=33, slow=187 |
-1.8% | -31.2% | -0.04 | -0.06 | 0.8x | 13 | 38% |
| Donchian 채널 돌파 entryN=76, exitN=78 |
-2.9% | -34.3% | -0.10 | -0.08 | 0.8x | 13 | 42% |
| Supertrend period=28, mult=5 |
-2.9% | -37.8% | -0.12 | -0.08 | 0.8x | 32 | 42% |
| EMA 크로스오버 fast=40, slow=217 |
-3.6% | -36.2% | -0.16 | -0.10 | 0.7x | 12 | 32% |
| ROC 모멘텀 n=90, threshold=-0.01 |
-4.6% | -50.4% | -0.20 | -0.09 | 0.6x | 84 | 43% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
-2.5% | -27.1% | -0.25 | -0.09 | 0.8x | 10 | 8% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=3.4 |
-1.8% | -23.7% | -0.26 | -0.08 | 0.8x | 8 | 1% |
| MACD fast=18, slow=38, signal=18 |
-8.1% | -57.7% | -0.40 | -0.14 | 0.5x | 108 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-9.5% | -64.2% | -0.51 | -0.15 | 0.4x | 132 | 45% |
| Buy and hold | -8.1% | -57.1% | -0.26 | -0.14 | 0.5x | 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, 22-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)