Trend-Following Backtester · Guide · backtest 한국어
etf · US
Xtrackers Harvest CSI 300 China A-Shares ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers Harvest CSI 300 China A-Shares ETF. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.4%, MDD -26.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.5%, drawdown -61.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -29.9%, Sharpe 0.50, 38% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 6.4%, MDD -26.6%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=76, exitN=39 |
7.2% | -29.9% | 0.50 | 0.24 | 2.4x | 26 | 38% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=12, mult=4 |
6.4% | -26.6% | 0.49 | 0.24 | 2.2x | 36 | 27% |
| 볼린저 밴드 돌파 n=53, k=2.4 |
5.9% | -26.9% | 0.46 | 0.22 | 2.1x | 34 | 25% |
| SMA 크로스오버 fast=34, slow=132 |
5.1% | -50.5% | 0.35 | 0.10 | 1.9x | 25 | 52% |
| Supertrend period=14, mult=4.9 |
3.3% | -48.3% | 0.27 | 0.07 | 1.5x | 62 | 50% |
| EMA 크로스오버 fast=36, slow=132 |
3.4% | -52.1% | 0.26 | 0.07 | 1.5x | 23 | 52% |
| ADX / DI 방향성 period=35, threshold=13 |
2.4% | -36.2% | 0.23 | 0.07 | 1.3x | 46 | 24% |
| ROC 모멘텀 n=102, threshold=0.03 |
2.2% | -51.5% | 0.21 | 0.04 | 1.3x | 116 | 45% |
| MACD fast=12, slow=93, signal=23 |
2.0% | -41.8% | 0.20 | 0.05 | 1.3x | 124 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-2.6% | -47.2% | -0.05 | -0.05 | 0.7x | 188 | 53% |
| Buy and hold | 2.5% | -61.8% | 0.23 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 76 days
- Sell — Sell when price breaks below the lowest low of the last 39 days