Trend-Following Backtester · Guide · backtest 한국어
equity · TW
China Airlines Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Airlines Ltd.. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.0%, MDD -34.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.5%, drawdown -80.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.0%, MDD -34.8%, Sharpe 0.44, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 5.0%, MDD -34.8%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=2.6 |
5.0% | -34.8% | 0.44 | 0.14 | 3.6x | 76 | 8% |
| 볼린저 밴드 돌파 n=35, k=3.2 |
4.6% | -39.9% | 0.39 | 0.11 | 3.3x | 42 | 11% |
| EMA 크로스오버 fast=20, slow=74 |
3.5% | -72.2% | 0.26 | 0.05 | 2.5x | 91 | 43% |
| SMA 크로스오버 fast=8, slow=106 |
3.2% | -62.9% | 0.25 | 0.05 | 2.3x | 107 | 44% |
| Donchian 채널 돌파 entryN=35, exitN=14 |
2.9% | -65.6% | 0.24 | 0.04 | 2.1x | 128 | 29% |
| Supertrend period=10, mult=5 |
2.5% | -75.1% | 0.23 | 0.03 | 1.9x | 83 | 52% |
| MACD fast=14, slow=52, signal=19 |
1.7% | -73.5% | 0.19 | 0.02 | 1.6x | 280 | 51% |
| ROC 모멘텀 n=100, threshold=0.14 |
1.8% | -63.0% | 0.19 | 0.03 | 1.6x | 165 | 24% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.6% | -79.0% | 0.19 | 0.02 | 1.5x | 186 | 45% |
| ADX / DI 방향성 period=33, threshold=31 |
1.2% | -38.7% | 0.18 | 0.03 | 1.4x | 12 | 4% |
| Buy and hold | 2.5% | -80.0% | 0.25 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 11-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average