Trend-Following Backtester · Guide · backtest 한국어
equity · HK
AviChina Industry & Technology Co. Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of AviChina Industry & Technology Co. Ltd. Class H. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 3.2%, drawdown -81.9%).
Sharpe leader (same as main): Supertrend — CAGR 5.6%, MDD -65.9%, Sharpe 0.33, 46% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=4.3 |
5.6% | -65.9% | 0.33 | 0.08 | 3.5x | 68 | 46% |
| Donchian 채널 돌파 entryN=42, exitN=54 |
4.8% | -81.2% | 0.31 | 0.06 | 2.9x | 50 | 53% |
| SMA 크로스오버 fast=34, slow=214 |
4.1% | -73.5% | 0.30 | 0.06 | 2.5x | 34 | 51% |
| ADX / DI 방향성 period=34, threshold=13 |
3.7% | -75.4% | 0.28 | 0.05 | 2.3x | 132 | 37% |
| MACD fast=16, slow=40, signal=19 |
2.9% | -76.7% | 0.26 | 0.04 | 1.9x | 255 | 51% |
| EMA 크로스오버 fast=59, slow=148 |
2.4% | -80.7% | 0.26 | 0.03 | 1.7x | 36 | 50% |
| ROC 모멘텀 n=121, threshold=-0.06 |
1.0% | -81.2% | 0.22 | 0.01 | 1.2x | 150 | 57% |
| 볼린저 밴드 돌파 n=41, k=0.9 |
1.8% | -80.3% | 0.22 | 0.02 | 1.5x | 190 | 38% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=34, mult=1.7 |
1.8% | -62.9% | 0.21 | 0.03 | 1.5x | 120 | 32% |
| Parabolic SAR step=0.045, maxStep=0.08 |
-0.7% | -82.3% | 0.16 | -0.01 | 0.8x | 477 | 48% |
| Buy and hold | 3.2% | -81.9% | 0.32 | 0.04 | 2.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)