Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Levd. & Invr. Ser. - Hang Seng China Enterprises (-2) backtest
10 trend-following strategies were compared on the full daily history of CSOP Levd. & Invr. Ser. - Hang Seng China Enterprises (-2). 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -3.0%, MDD -38.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.4%, drawdown -87.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -4.2%, MDD -62.9%, Sharpe 0.04, 39% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -3.0%, MDD -38.8%, exposure 2%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR -3.0%, MDD -38.8%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=29, slow=137 |
-4.2% | -62.9% | 0.04 | -0.07 | 0.7x | 18 | 39% |
| ROC 모멘텀 n=151, threshold=-0.09 |
-5.1% | -64.1% | 0.04 | -0.08 | 0.6x | 57 | 50% |
| EMA 크로스오버 fast=52, slow=76 |
-4.4% | -53.8% | 0.03 | -0.08 | 0.7x | 18 | 35% |
| Supertrend period=18, mult=4.2 |
-4.0% | -59.1% | 0.02 | -0.07 | 0.7x | 42 | 42% |
| Donchian 채널 돌파 entryN=13, exitN=60 |
-10.1% | -76.4% | -0.05 | -0.13 | 0.4x | 37 | 73% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=13, mult=3.8 |
-4.5% | -46.4% | -0.11 | -0.10 | 0.6x | 18 | 7% |
| MACD fast=19, slow=51, signal=17 |
-11.2% | -72.6% | -0.15 | -0.15 | 0.3x | 102 | 53% |
| ADX / DI 방향성 period=13, threshold=39 |
-3.0% | -38.8% | -0.16 | -0.08 | 0.8x | 12 | 2% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
-8.8% | -61.3% | -0.23 | -0.14 | 0.4x | 32 | 17% |
| Parabolic SAR step=0.045, maxStep=0.32 |
-15.1% | -83.6% | -0.30 | -0.18 | 0.2x | 309 | 45% |
| Buy and hold | -15.4% | -87.5% | -0.12 | -0.18 | 0.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 29-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 29-day average falls below the 137-day average