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Trend-Following Backtester · Guide · backtest 한국어

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E Fund SSE Science and Technology Innovation Board 50 Exchange Traded Fund backtest

10 trend-following strategies were compared on the full daily history of E Fund SSE Science and Technology Innovation Board 50 Exchange Traded Fund. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.0%, MDD -18.2%).

Data 2020-09-28 ~ 2026-07-31daily bars 1,395 (5.8 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 2.7%, drawdown -60.0%).

Sharpe leader (same as main): MACD — CAGR 16.3%, MDD -40.2%, Sharpe 0.77, 45% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 15.0%, MDD -18.2%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=17, slow=45, signal=11
16.3%-40.2%0.770.412.4x6045%
볼린저 밴드 돌파
n=23, k=1.8
15.0%-18.2%0.760.822.3x3227%
ADX / DI 방향성
period=9, threshold=31
14.9%-19.0%0.760.792.3x4623%
Keltner 채널 돌파
emaPeriod=26, atrPeriod=9, mult=1.7
12.1%-22.8%0.640.531.9x3025%
Supertrend
period=29, mult=2.4
11.5%-24.8%0.600.471.9x5046%
EMA 크로스오버
fast=18, slow=332
9.9%-28.8%0.580.341.7x332%
Parabolic SAR
step=0.01, maxStep=0.28
10.7%-37.4%0.560.291.8x7845%
SMA 크로스오버
fast=14, slow=257
8.2%-28.8%0.490.291.6x536%
ROC 모멘텀
n=133, threshold=-0.08
7.9%-40.7%0.430.191.6x2156%
Donchian 채널 돌파
entryN=20, exitN=27
5.7%-29.1%0.350.201.4x2850%
Buy and hold2.7%-60.0%0.240.051.2x1100%
1x 2021 2022 2023 2024 2025 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -30% -45% -60% 2021 2022 2023 2024 2025 2026 Buy and holdMACD
MACD maximum drawdown -40.2% (2023-04-20 → 2024-08-05), recovered after 853 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CN assetsAll asset reports

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