Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Hang Seng TECH Index Daily (-2x) Inverse Product backtest
10 trend-following strategies were compared on the full daily history of CSOP Hang Seng TECH Index Daily (-2x) Inverse Product. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -4.7%, MDD -57.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.9%, drawdown -95.5%).
Sharpe leader (same as main): MACD — CAGR 4.1%, MDD -65.4%, Sharpe 0.37, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 29.0%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR -4.7%, MDD -57.1%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=55, signal=15 |
4.1% | -65.4% | 0.37 | 0.06 | 1.3x | 64 | 54% |
| Donchian 채널 돌파 entryN=16, exitN=24 |
-3.8% | -73.4% | 0.27 | -0.05 | 0.8x | 27 | 60% |
| 볼린저 밴드 돌파 n=19, k=1.2 |
-2.5% | -64.7% | 0.23 | -0.04 | 0.9x | 80 | 37% |
| SMA 크로스오버 fast=10, slow=166 |
-3.6% | -74.0% | 0.21 | -0.05 | 0.8x | 11 | 34% |
| EMA 크로스오버 fast=21, slow=121 |
-4.6% | -78.9% | 0.20 | -0.06 | 0.8x | 11 | 36% |
| Supertrend period=9, mult=3.4 |
-5.9% | -72.5% | 0.17 | -0.08 | 0.7x | 34 | 44% |
| ADX / DI 방향성 period=14, threshold=7 |
-10.0% | -82.5% | 0.14 | -0.12 | 0.6x | 130 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=14, mult=3.3 |
-4.7% | -57.1% | 0.11 | -0.08 | 0.8x | 14 | 13% |
| ROC 모멘텀 n=98, threshold=0.04 |
-10.6% | -86.9% | 0.09 | -0.12 | 0.5x | 44 | 37% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-18.2% | -83.5% | -0.06 | -0.22 | 0.3x | 130 | 45% |
| Buy and hold | -24.9% | -95.5% | 0.04 | -0.26 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/55) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line