Trend-Following Backtester · Guide · backtest 한국어
equity · IN
AIA Engineering Limited backtest
10 trend-following strategies were compared on the full daily history of AIA Engineering Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.9%, MDD -55.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.9%, drawdown -69.4%).
Sharpe leader (same as main): Supertrend — CAGR 15.4%, MDD -50.1%, Sharpe 0.67, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 16.9%, MDD -55.0%, exposure 93%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 19.3%p (CAGR 16.9%, MDD -55.0%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=3.1 |
15.4% | -50.1% | 0.67 | 0.31 | 19.5x | 80 | 62% |
| ROC 모멘텀 n=13, threshold=-0.09 |
16.9% | -55.0% | 0.65 | 0.31 | 25.3x | 172 | 93% |
| EMA 크로스오버 fast=26, slow=157 |
13.8% | -45.4% | 0.61 | 0.30 | 14.5x | 47 | 67% |
| Parabolic SAR step=0.005, maxStep=0.22 |
12.7% | -39.6% | 0.60 | 0.32 | 11.8x | 168 | 54% |
| Donchian 채널 돌파 entryN=19, exitN=70 |
14.1% | -53.1% | 0.59 | 0.26 | 15.3x | 41 | 78% |
| ADX / DI 방향성 period=20, threshold=11 |
12.4% | -53.1% | 0.57 | 0.23 | 11.3x | 264 | 63% |
| SMA 크로스오버 fast=27, slow=169 |
11.6% | -51.5% | 0.54 | 0.22 | 9.7x | 41 | 64% |
| 볼린저 밴드 돌파 n=46, k=1.9 |
8.9% | -38.4% | 0.50 | 0.23 | 5.9x | 108 | 39% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=1.6 |
7.2% | -58.0% | 0.42 | 0.12 | 4.2x | 110 | 43% |
| MACD fast=12, slow=50, signal=17 |
6.1% | -69.9% | 0.37 | 0.09 | 3.4x | 270 | 49% |
| Buy and hold | 19.9% | -69.4% | 0.70 | 0.29 | 43.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)