Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Air China Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Air China Limited Class A. 8 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 11.3%, MDD -28.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.1%, drawdown -89.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.3%, MDD -28.9%, Sharpe 0.74, 7% exposure.
CAGR reference leader: Supertrend — CAGR 14.6%, MDD -63.1%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 60.2%p (CAGR 11.3%, MDD -28.9%, exposure 7%).
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=38, threshold=30 |
11.3% | -28.9% | 0.74 | 0.39 | 8.4x | 8 | 7% |
| Supertrend period=11, mult=5 |
14.6% | -63.1% | 0.59 | 0.23 | 15.2x | 46 | 57% |
| SMA 크로스오버 fast=43, slow=89 |
13.7% | -59.1% | 0.57 | 0.23 | 13.0x | 48 | 50% |
| EMA 크로스오버 fast=23, slow=88 |
12.0% | -67.4% | 0.53 | 0.18 | 9.6x | 54 | 45% |
| Donchian 채널 돌파 entryN=51, exitN=64 |
12.2% | -70.0% | 0.52 | 0.17 | 9.9x | 28 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=1.8 |
10.2% | -72.4% | 0.50 | 0.14 | 6.9x | 90 | 32% |
| ROC 모멘텀 n=79, threshold=0.07 |
9.6% | -75.4% | 0.47 | 0.13 | 6.3x | 190 | 37% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
6.4% | -75.3% | 0.37 | 0.08 | 3.4x | 88 | 33% |
| MACD fast=14, slow=42, signal=10 |
3.5% | -71.3% | 0.27 | 0.05 | 2.0x | 277 | 53% |
| Parabolic SAR step=0.01, maxStep=0.28 |
1.6% | -80.7% | 0.21 | 0.02 | 1.4x | 258 | 52% |
| Buy and hold | 4.1% | -89.1% | 0.31 | 0.05 | 2.2x | 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, 38-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)