Trend-Following Backtester · Guide · backtest 한국어
equity · CN
AVIC Xi'an Aircraft Industry Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of AVIC Xi'an Aircraft Industry Group Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.3%, MDD -37.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.9%, drawdown -78.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -69.7%, Sharpe 0.48, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 8.3%p (CAGR 8.3%, MDD -37.7%, exposure 16%).
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=85, exitN=62 |
10.7% | -69.7% | 0.48 | 0.15 | 19.1x | 40 | 42% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
8.3% | -37.7% | 0.47 | 0.22 | 10.2x | 72 | 16% |
| ROC 모멘텀 n=116, threshold=0.18 |
9.5% | -60.5% | 0.46 | 0.16 | 13.8x | 134 | 26% |
| SMA 크로스오버 fast=20, slow=93 |
8.1% | -73.8% | 0.40 | 0.11 | 9.7x | 98 | 48% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=25, mult=0.8 |
7.3% | -68.5% | 0.39 | 0.11 | 7.8x | 258 | 39% |
| EMA 크로스오버 fast=48, slow=83 |
7.0% | -79.2% | 0.37 | 0.09 | 7.1x | 60 | 46% |
| MACD fast=19, slow=39, signal=19 |
6.4% | -70.9% | 0.36 | 0.09 | 6.2x | 305 | 50% |
| Supertrend period=9, mult=2.3 |
6.2% | -65.5% | 0.35 | 0.09 | 5.7x | 251 | 51% |
| ADX / DI 방향성 period=36, threshold=21 |
3.6% | -61.3% | 0.27 | 0.06 | 2.8x | 60 | 15% |
| Parabolic SAR step=0.01, maxStep=0.12 |
2.7% | -74.6% | 0.24 | 0.04 | 2.2x | 364 | 48% |
| Buy and hold | 7.9% | -78.0% | 0.39 | 0.10 | 9.1x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 62 days