Trend-Following Backtester · Guide · backtest 한국어
equity · CN
AVIC Shenyang Aircraft Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of AVIC Shenyang Aircraft Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -50.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.4%, drawdown -92.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.7%, MDD -34.8%, Sharpe 0.66, 3% exposure.
CAGR reference leader: Supertrend — CAGR 11.7%, MDD -72.8%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 57.3%p (CAGR 8.8%, MDD -50.4%, exposure 10%).
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=14, atrPeriod=29, mult=4 |
7.7% | -34.8% | 0.66 | 0.22 | 9.0x | 22 | 3% |
| 볼린저 밴드 돌파 n=49, k=3.4 |
8.8% | -50.4% | 0.56 | 0.18 | 12.5x | 32 | 10% |
| Supertrend period=11, mult=2.4 |
11.7% | -72.8% | 0.50 | 0.16 | 27.1x | 265 | 50% |
| EMA 크로스오버 fast=77, slow=93 |
11.6% | -66.7% | 0.49 | 0.17 | 26.4x | 44 | 50% |
| MACD fast=7, slow=40, signal=65 |
10.6% | -62.0% | 0.47 | 0.17 | 20.3x | 299 | 50% |
| SMA 크로스오버 fast=14, slow=201 |
10.0% | -59.1% | 0.45 | 0.17 | 17.1x | 64 | 49% |
| ADX / DI 방향성 period=23, threshold=35 |
5.3% | -44.0% | 0.43 | 0.12 | 4.7x | 36 | 6% |
| Donchian 채널 돌파 entryN=67, exitN=7 |
6.2% | -54.8% | 0.39 | 0.11 | 6.1x | 118 | 15% |
| ROC 모멘텀 n=143, threshold=0.05 |
7.3% | -71.0% | 0.38 | 0.10 | 8.1x | 228 | 44% |
| Parabolic SAR step=0.015, maxStep=0.16 |
4.4% | -72.0% | 0.30 | 0.06 | 3.6x | 477 | 50% |
| Buy and hold | 9.4% | -92.1% | 0.43 | 0.10 | 14.4x | 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 14-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average