Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP FTSE China A50 ETF HKD backtest
10 trend-following strategies were compared on the full daily history of CSOP FTSE China A50 ETF HKD. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.6%, MDD -24.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.7%, drawdown -54.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.6%, MDD -24.3%, Sharpe 0.47, 26% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.0%, MDD -34.5%, exposure 40%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 30.4%p (CAGR 5.6%, MDD -24.3%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=3.5 |
5.6% | -24.3% | 0.47 | 0.23 | 2.1x | 36 | 26% |
| Donchian 채널 돌파 entryN=57, exitN=34 |
6.0% | -34.5% | 0.46 | 0.17 | 2.3x | 32 | 40% |
| Supertrend period=15, mult=3.6 |
6.0% | -32.0% | 0.44 | 0.19 | 2.3x | 68 | 48% |
| 볼린저 밴드 돌파 n=42, k=2.1 |
4.9% | -26.9% | 0.41 | 0.18 | 1.9x | 64 | 32% |
| SMA 크로스오버 fast=52, slow=202 |
5.3% | -44.6% | 0.38 | 0.12 | 2.1x | 13 | 52% |
| ADX / DI 방향성 period=32, threshold=24 |
2.9% | -23.1% | 0.36 | 0.13 | 1.5x | 20 | 12% |
| EMA 크로스오버 fast=53, slow=55 |
3.5% | -54.0% | 0.28 | 0.06 | 1.6x | 35 | 53% |
| ROC 모멘텀 n=151, threshold=0.01 |
1.2% | -37.7% | 0.16 | 0.03 | 1.2x | 89 | 49% |
| MACD fast=17, slow=36, signal=19 |
1.2% | -55.0% | 0.16 | 0.02 | 1.2x | 146 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-5.5% | -64.7% | -0.26 | -0.09 | 0.5x | 282 | 51% |
| Buy and hold | 5.7% | -54.8% | 0.34 | 0.10 | 2.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 53-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 53-day average