Trend-Following Backtester · Guide · backtest 한국어
equity · HK
BOC Aviation Limited backtest
10 trend-following strategies were compared on the full daily history of BOC Aviation Limited. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 5.8%, MDD -31.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -56.1%).
Sharpe leader (same as main): MACD — CAGR 5.8%, MDD -31.4%, Sharpe 0.38, 48% exposure.
Return/drawdown alternative: MACD — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 24.8%p (CAGR 5.8%, MDD -31.4%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=35, signal=16 |
5.8% | -31.4% | 0.38 | 0.19 | 1.8x | 131 | 48% |
| Supertrend period=20, mult=1.9 |
5.4% | -28.3% | 0.36 | 0.19 | 1.7x | 100 | 52% |
| SMA 크로스오버 fast=72, slow=126 |
2.0% | -43.9% | 0.20 | 0.05 | 1.2x | 26 | 64% |
| ROC 모멘텀 n=145, threshold=0.01 |
1.3% | -53.5% | 0.17 | 0.02 | 1.1x | 83 | 59% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=14, mult=3.3 |
0.3% | -5.2% | 0.12 | 0.06 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.1% | -42.8% | 0.10 | -0.00 | 1.0x | 169 | 52% |
| Donchian 채널 돌파 entryN=115, exitN=56 |
-0.1% | -56.4% | 0.09 | -0.00 | 1.0x | 14 | 44% |
| 볼린저 밴드 돌파 n=36, k=2.3 |
-0.2% | -27.5% | 0.05 | -0.01 | 1.0x | 42 | 23% |
| EMA 크로스오버 fast=13, slow=115 |
-4.2% | -63.7% | -0.10 | -0.07 | 0.6x | 46 | 62% |
| ADX / DI 방향성 period=6, threshold=49 |
-2.3% | -25.8% | -0.20 | -0.09 | 0.8x | 82 | 12% |
| Buy and hold | 6.1% | -56.1% | 0.35 | 0.11 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/35) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line