Trend-Following Backtester · Guide · backtest 한국어

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AVIC Chengdu Aircraft Company Limited Class A backtest

10 trend-following strategies were compared on the full daily history of AVIC Chengdu Aircraft Company Limited Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 21.1%, MDD -46.6%).

Data 2010-08-27 ~ 2026-07-31daily bars 3,864 (15.9 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 15.9%, drawdown -75.4%).

Sharpe leader (same as main): Parabolic SAR — CAGR 21.1%, MDD -46.6%, Sharpe 0.71, 53% exposure.

Return/drawdown alternative: Parabolic SAR — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 21.1%, MDD -46.6%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Parabolic SAR
step=0.01, maxStep=0.1
21.1%-46.6%0.710.4521.0x16153%
볼린저 밴드 돌파
n=18, k=3.4
12.9%-32.5%0.710.406.9x123%
Keltner 채널 돌파
emaPeriod=8, atrPeriod=21, mult=4
10.7%-18.5%0.680.585.1x81%
MACD
fast=9, slow=23, signal=14
15.0%-54.0%0.570.289.2x25047%
Supertrend
period=27, mult=2.4
14.6%-63.0%0.560.238.7x12840%
ROC 모멘텀
n=145, threshold=-0.02
15.4%-63.5%0.560.249.8x10555%
Donchian 채널 돌파
entryN=96, exitN=103
14.5%-81.5%0.550.188.7x1154%
SMA 크로스오버
fast=10, slow=217
13.2%-73.3%0.520.187.2x2650%
EMA 크로스오버
fast=16, slow=145
12.1%-71.6%0.490.176.2x3954%
ADX / DI 방향성
period=13, threshold=24
5.3%-56.2%0.320.092.3x12333%
Buy and hold15.9%-75.4%0.550.2110.4x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 Parabolic SARBuy and hold
Parabolic SAR: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -75% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdParabolic SAR
Parabolic SAR maximum drawdown -46.6% (2015-11-20 → 2019-01-29), recovered after 2,635 days.

Rules of the top strategy

Trades around the Parabolic SAR dots that accelerate toward price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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