Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Aerospace Times Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Aerospace Times Electronics Co., Ltd. Class A. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.2%, MDD -62.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.0%, drawdown -80.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -72.4%, Sharpe 0.55, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 7.9%p (CAGR 13.2%, MDD -62.0%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=70, exitN=66 |
13.7% | -72.4% | 0.55 | 0.19 | 51.0x | 52 | 59% |
| Supertrend period=29, mult=4 |
13.2% | -62.0% | 0.55 | 0.21 | 45.1x | 110 | 53% |
| SMA 크로스오버 fast=53, slow=84 |
12.4% | -79.6% | 0.52 | 0.16 | 36.2x | 94 | 56% |
| 볼린저 밴드 돌파 n=50, k=3 |
8.6% | -53.6% | 0.46 | 0.16 | 12.4x | 66 | 20% |
| EMA 크로스오버 fast=42, slow=75 |
10.3% | -85.0% | 0.46 | 0.12 | 20.1x | 80 | 55% |
| ROC 모멘텀 n=80, threshold=-0.03 |
9.3% | -73.1% | 0.43 | 0.13 | 15.2x | 316 | 60% |
| ADX / DI 방향성 period=37, threshold=15 |
6.7% | -80.1% | 0.38 | 0.08 | 7.4x | 126 | 31% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=1.7 |
7.0% | -73.7% | 0.38 | 0.10 | 8.0x | 164 | 39% |
| MACD fast=18, slow=41, signal=17 |
6.1% | -80.7% | 0.34 | 0.08 | 6.1x | 342 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.7% | -92.0% | 0.18 | 0.01 | 1.2x | 246 | 52% |
| Buy and hold | 12.0% | -80.3% | 0.48 | 0.15 | 32.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 70 days
- Sell — Sell when price breaks below the lowest low of the last 66 days