Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hang Seng TECH Index Daily (-2x) Inverse Product backtest
10 trend-following strategies were compared on the full daily history of CSOP Hang Seng TECH Index Daily (-2x) Inverse Product. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -4.6%, MDD -57.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.6%, drawdown -95.5%).
Sharpe leader (same as main): MACD — CAGR 4.4%, MDD -65.4%, Sharpe 0.38, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.0%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR -4.6%, MDD -57.1%, exposure 12%).
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=14, slow=55, signal=15 |
4.4% | -65.4% | 0.38 | 0.07 | 1.3x | 65 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=24 |
-4.8% | -73.4% | 0.25 | -0.07 | 0.8x | 29 | 60% |
| 볼린저 밴드 돌파 n=19, k=1.2 |
-2.0% | -64.7% | 0.24 | -0.03 | 0.9x | 81 | 36% |
| SMA 크로스오버 fast=10, slow=166 |
-3.5% | -74.0% | 0.21 | -0.05 | 0.8x | 13 | 35% |
| EMA 크로스오버 fast=21, slow=121 |
-5.4% | -78.9% | 0.18 | -0.07 | 0.7x | 13 | 36% |
| Supertrend period=9, mult=3.4 |
-5.8% | -72.5% | 0.17 | -0.08 | 0.7x | 34 | 43% |
| ADX / DI 방향성 period=14, threshold=7 |
-10.8% | -82.5% | 0.12 | -0.13 | 0.5x | 135 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=14, mult=3.3 |
-4.6% | -57.1% | 0.10 | -0.08 | 0.8x | 14 | 12% |
| ROC 모멘텀 n=98, threshold=0.04 |
-10.4% | -86.9% | 0.09 | -0.12 | 0.5x | 44 | 37% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-17.6% | -84.1% | -0.05 | -0.21 | 0.3x | 131 | 45% |
| Buy and hold | -23.6% | -95.5% | 0.06 | -0.25 | 0.2x | 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 (14/55) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line