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Trend-Following Backtester · Guide · backtest 한국어

etf · HK

CSOP NASDAQ-100 Index Daily (2x) Leveraged Product ETF backtest

10 trend-following strategies were compared on the full daily history of CSOP NASDAQ-100 Index Daily (2x) Leveraged Product ETF. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2020-05-15 ~ 2026-07-31daily bars 1,525 (6.2 years)Costs 0.5%Venue HKEXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 32.4%, drawdown -63.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.1%, MDD -29.4%, Sharpe 0.84, 55% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 22.3%, MDD -31.3%, exposure 71%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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
Keltner 채널 돌파
emaPeriod=31, atrPeriod=20, mult=1.3
19.1%-29.4%0.840.653.0x6855%
EMA 크로스오버
fast=30, slow=93
22.3%-31.3%0.830.713.5x971%
SMA 크로스오버
fast=33, slow=162
19.8%-29.5%0.780.673.1x766%
ROC 모멘텀
n=90, threshold=-0.02
19.1%-31.6%0.740.603.0x4569%
Donchian 채널 돌파
entryN=72, exitN=69
18.7%-30.6%0.720.612.9x969%
Supertrend
period=24, mult=4.6
16.3%-37.5%0.720.442.6x4458%
ADX / DI 방향성
period=16, threshold=12
15.3%-31.1%0.700.492.4x9852%
Parabolic SAR
step=0.025, maxStep=0.12
15.8%-53.5%0.630.302.5x11461%
볼린저 밴드 돌파
n=31, k=1.2
12.3%-36.4%0.610.342.1x5250%
MACD
fast=9, slow=50, signal=18
5.6%-47.3%0.340.121.4x8448%
Buy and hold32.4%-63.1%0.840.515.7x1100%
1x 2021 2022 2023 2024 2025 2026 EMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -16% -32% -47% -63% 2021 2022 2023 2024 2025 2026 Buy and holdEMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -29.4% (2024-07-11 → 2025-05-09), recovered after 455 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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 HK assetsAll asset reports

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