Trend-Following Backtester · Guide · backtest 한국어
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CTBC MSCI China Free 50 ex A and B Daily Leveraged 2X ETF backtest
10 trend-following strategies were compared on the full daily history of CTBC MSCI China Free 50 ex A and B Daily Leveraged 2X ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.5%, MDD -34.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.1%, drawdown -90.0%).
Sharpe leader (same as main): Supertrend — CAGR 12.3%, MDD -62.5%, Sharpe 0.53, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.4%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 10.5%, MDD -34.4%, exposure 23%).
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=20, mult=3.1 |
12.3% | -62.5% | 0.53 | 0.20 | 2.5x | 59 | 43% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=28, mult=2.8 |
10.5% | -34.4% | 0.52 | 0.31 | 2.2x | 26 | 23% |
| 볼린저 밴드 돌파 n=27, k=1.9 |
7.7% | -35.9% | 0.41 | 0.21 | 1.8x | 42 | 25% |
| MACD fast=16, slow=37, signal=16 |
8.2% | -62.7% | 0.41 | 0.13 | 1.9x | 84 | 52% |
| Donchian 채널 돌파 entryN=21, exitN=18 |
5.7% | -47.3% | 0.34 | 0.12 | 1.5x | 39 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.8% | -73.9% | 0.26 | 0.04 | 1.2x | 58 | 50% |
| SMA 크로스오버 fast=13, slow=51 |
2.6% | -52.8% | 0.25 | 0.05 | 1.2x | 41 | 43% |
| EMA 크로스오버 fast=22, slow=44 |
0.6% | -59.7% | 0.18 | 0.01 | 1.0x | 27 | 39% |
| ROC 모멘텀 n=49, threshold=0.06 |
-2.1% | -64.8% | 0.09 | -0.03 | 0.8x | 75 | 34% |
| ADX / DI 방향성 period=15, threshold=15 |
-3.3% | -51.5% | 0.05 | -0.06 | 0.8x | 114 | 34% |
| Buy and hold | -9.1% | -90.0% | 0.08 | -0.10 | 0.5x | 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) — 20-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)