Trend-Following Backtester · Guide · backtest 한국어
equity · CN
AVIC Chengdu Aircraft Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of AVIC Chengdu Aircraft Company Limited Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 21.1%, MDD -46.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.9%, drawdown -75.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 21.1%, MDD -46.6%, Sharpe 0.71, 53% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 21.1%, MDD -46.6%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.1 |
21.1% | -46.6% | 0.71 | 0.45 | 21.0x | 161 | 53% |
| 볼린저 밴드 돌파 n=18, k=3.4 |
12.9% | -32.5% | 0.71 | 0.40 | 6.9x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=21, mult=4 |
10.7% | -18.5% | 0.68 | 0.58 | 5.1x | 8 | 1% |
| MACD fast=9, slow=23, signal=14 |
15.0% | -54.0% | 0.57 | 0.28 | 9.2x | 250 | 47% |
| Supertrend period=27, mult=2.4 |
14.6% | -63.0% | 0.56 | 0.23 | 8.7x | 128 | 40% |
| ROC 모멘텀 n=145, threshold=-0.02 |
15.4% | -63.5% | 0.56 | 0.24 | 9.8x | 105 | 55% |
| Donchian 채널 돌파 entryN=96, exitN=103 |
14.5% | -81.5% | 0.55 | 0.18 | 8.7x | 11 | 54% |
| SMA 크로스오버 fast=10, slow=217 |
13.2% | -73.3% | 0.52 | 0.18 | 7.2x | 26 | 50% |
| EMA 크로스오버 fast=16, slow=145 |
12.1% | -71.6% | 0.49 | 0.17 | 6.2x | 39 | 54% |
| ADX / DI 방향성 period=13, threshold=24 |
5.3% | -56.2% | 0.32 | 0.09 | 2.3x | 123 | 33% |
| Buy and hold | 15.9% | -75.4% | 0.55 | 0.21 | 10.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots