Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Leveraged and Inverse Series - CSOP Hang Seng Index Daily (-2x) Inverse Product backtest
10 trend-following strategies were compared on the full daily history of CSOP Leveraged and Inverse Series - CSOP Hang Seng Index Daily (-2x) Inverse Product. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -3.6%, MDD -36.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.8%, drawdown -85.2%).
Sharpe leader (same as main): Supertrend — CAGR -2.4%, MDD -65.5%, Sharpe 0.08, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.4%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR -3.6%, MDD -36.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=5 |
-2.4% | -65.5% | 0.08 | -0.04 | 0.8x | 20 | 40% |
| SMA 크로스오버 fast=7, slow=193 |
-3.9% | -51.8% | 0.04 | -0.07 | 0.8x | 16 | 33% |
| ROC 모멘텀 n=153, threshold=-0.02 |
-4.6% | -50.4% | 0.03 | -0.09 | 0.7x | 42 | 37% |
| Donchian 채널 돌파 entryN=85, exitN=85 |
-5.2% | -57.3% | 0.02 | -0.09 | 0.7x | 7 | 41% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.5% | -52.5% | 0.01 | -0.11 | 0.7x | 62 | 44% |
| EMA 크로스오버 fast=46, slow=186 |
-5.3% | -53.9% | -0.01 | -0.10 | 0.7x | 8 | 31% |
| MACD fast=16, slow=56, signal=17 |
-7.7% | -62.1% | -0.04 | -0.12 | 0.6x | 68 | 52% |
| ADX / DI 방향성 period=14, threshold=31 |
-3.6% | -36.9% | -0.13 | -0.10 | 0.8x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=17, mult=4 |
-6.1% | -47.7% | -0.20 | -0.13 | 0.6x | 14 | 8% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
-7.1% | -54.1% | -0.21 | -0.13 | 0.6x | 12 | 11% |
| Buy and hold | -18.8% | -85.2% | -0.19 | -0.22 | 0.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)