Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Southern Airlines Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China Southern Airlines Company 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 11.9%, MDD -40.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.9%, drawdown -88.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.9%, MDD -40.3%, Sharpe 0.74, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.1%, MDD -68.1%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 47.9%p (CAGR 11.9%, MDD -40.3%, 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=37, threshold=32 |
11.9% | -40.3% | 0.74 | 0.29 | 13.4x | 8 | 7% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=20, mult=3.4 |
12.8% | -53.4% | 0.67 | 0.24 | 16.3x | 42 | 18% |
| SMA 크로스오버 fast=26, slow=95 |
15.1% | -68.1% | 0.61 | 0.22 | 25.7x | 60 | 47% |
| ROC 모멘텀 n=89, threshold=0.1 |
13.0% | -67.6% | 0.58 | 0.19 | 16.9x | 174 | 30% |
| 볼린저 밴드 돌파 n=47, k=2.5 |
11.1% | -75.4% | 0.57 | 0.15 | 11.3x | 70 | 25% |
| EMA 크로스오버 fast=27, slow=39 |
12.6% | -73.3% | 0.55 | 0.17 | 15.6x | 86 | 46% |
| Donchian 채널 돌파 entryN=114, exitN=59 |
11.2% | -72.5% | 0.51 | 0.15 | 11.5x | 26 | 34% |
| Supertrend period=9, mult=4.4 |
11.2% | -74.3% | 0.51 | 0.15 | 11.6x | 70 | 56% |
| Parabolic SAR step=0.01, maxStep=0.3 |
2.0% | -76.9% | 0.22 | 0.03 | 1.6x | 288 | 49% |
| MACD fast=18, slow=45, signal=14 |
1.6% | -79.0% | 0.21 | 0.02 | 1.5x | 275 | 53% |
| Buy and hold | 2.9% | -88.2% | 0.28 | 0.03 | 1.9x | 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, 37-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)