Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai International Airport Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai International Airport Co., Ltd. Class A. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -33.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.1%, drawdown -75.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -64.0%, Sharpe 0.49, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 7.0%, MDD -33.6%, exposure 15%).
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=54, exitN=69 |
10.1% | -64.0% | 0.49 | 0.16 | 15.6x | 48 | 57% |
| ADX / DI 방향성 period=41, threshold=23 |
6.4% | -37.2% | 0.49 | 0.17 | 5.9x | 36 | 15% |
| SMA 크로스오버 fast=32, slow=130 |
9.8% | -58.4% | 0.49 | 0.17 | 14.6x | 60 | 55% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
7.0% | -33.6% | 0.48 | 0.21 | 7.0x | 66 | 15% |
| EMA 크로스오버 fast=52, slow=128 |
8.9% | -66.9% | 0.45 | 0.13 | 11.6x | 54 | 54% |
| Supertrend period=16, mult=4.4 |
8.2% | -67.5% | 0.44 | 0.12 | 9.5x | 82 | 57% |
| ROC 모멘텀 n=106, threshold=-0.12 |
8.9% | -62.1% | 0.44 | 0.14 | 11.5x | 146 | 79% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=24, mult=3.1 |
6.2% | -35.8% | 0.43 | 0.17 | 5.6x | 66 | 16% |
| MACD fast=24, slow=52, signal=24 |
3.4% | -58.6% | 0.26 | 0.06 | 2.6x | 228 | 49% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.6% | -76.0% | 0.19 | 0.02 | 1.6x | 214 | 52% |
| Buy and hold | 8.1% | -75.7% | 0.40 | 0.11 | 9.4x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 69 days