Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Eastern Airlines Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China Eastern Airlines Corporation Limited Class A. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.2%, MDD -24.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.3%, drawdown -90.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.2%, MDD -24.9%, Sharpe 0.49, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.8%, MDD -75.6%, exposure 36%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 65.2%p (CAGR 4.2%, MDD -24.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=21, threshold=54 |
4.2% | -24.9% | 0.49 | 0.17 | 3.2x | 4 | 2% |
| Donchian 채널 돌파 entryN=127, exitN=76 |
7.8% | -75.6% | 0.41 | 0.10 | 8.6x | 28 | 36% |
| SMA 크로스오버 fast=55, slow=161 |
7.2% | -78.6% | 0.39 | 0.09 | 7.5x | 44 | 45% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=3.5 |
4.9% | -39.0% | 0.39 | 0.12 | 3.9x | 46 | 7% |
| EMA 크로스오버 fast=53, slow=128 |
6.3% | -80.6% | 0.36 | 0.08 | 5.9x | 46 | 39% |
| Supertrend period=19, mult=5 |
4.9% | -64.4% | 0.31 | 0.08 | 3.9x | 72 | 53% |
| 볼린저 밴드 돌파 n=44, k=2.7 |
4.4% | -71.0% | 0.31 | 0.06 | 3.4x | 80 | 19% |
| ROC 모멘텀 n=83, threshold=0 |
1.3% | -90.1% | 0.19 | 0.01 | 1.4x | 298 | 45% |
| Parabolic SAR step=0.03, maxStep=0.06 |
-0.5% | -90.6% | 0.12 | -0.01 | 0.9x | 455 | 46% |
| MACD fast=17, slow=45, signal=7 |
-2.1% | -92.0% | 0.07 | -0.02 | 0.5x | 483 | 52% |
| Buy and hold | -2.3% | -90.1% | 0.14 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 21-day) is ≥ 54
- Sell — Sell when direction flips or the trend weakens (ADX < 54)