Trend-Following Backtester · Guide · backtest 한국어
equity · TW
China Airlines Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Airlines Ltd.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.8%, MDD -37.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.2%, drawdown -80.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.8%, MDD -37.2%, Sharpe 0.43, 7% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 5.1%, MDD -39.9%, exposure 11%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 4.8%, MDD -37.2%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=3 |
4.8% | -37.2% | 0.43 | 0.13 | 3.5x | 52 | 7% |
| 볼린저 밴드 돌파 n=34, k=3.2 |
5.1% | -39.9% | 0.41 | 0.13 | 3.8x | 46 | 11% |
| Donchian 채널 돌파 entryN=37, exitN=17 |
3.6% | -66.5% | 0.27 | 0.05 | 2.6x | 112 | 30% |
| SMA 크로스오버 fast=9, slow=97 |
3.8% | -63.6% | 0.27 | 0.06 | 2.7x | 104 | 44% |
| Supertrend period=7, mult=5 |
3.7% | -65.3% | 0.27 | 0.06 | 2.7x | 79 | 53% |
| ADX / DI 방향성 period=36, threshold=31 |
1.9% | -38.3% | 0.25 | 0.05 | 1.6x | 8 | 3% |
| EMA 크로스오버 fast=26, slow=60 |
2.9% | -69.4% | 0.24 | 0.04 | 2.1x | 90 | 44% |
| Parabolic SAR step=0.005, maxStep=0.08 |
2.2% | -77.8% | 0.21 | 0.03 | 1.8x | 184 | 45% |
| MACD fast=12, slow=63, signal=17 |
2.1% | -68.4% | 0.21 | 0.03 | 1.8x | 302 | 51% |
| ROC 모멘텀 n=100, threshold=0.14 |
1.2% | -63.0% | 0.16 | 0.02 | 1.4x | 172 | 24% |
| Buy and hold | 2.2% | -80.0% | 0.24 | 0.03 | 1.8x | 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 + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average