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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

AVIC Shenyang Aircraft Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of AVIC Shenyang Aircraft Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -50.4%).

Data 1996-10-11 ~ 2026-07-31daily bars 7,405 (29.8 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 9.4%, drawdown -92.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.7%, MDD -34.8%, Sharpe 0.66, 3% exposure.

CAGR reference leader: Supertrend — CAGR 11.7%, MDD -72.8%, exposure 50%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 57.3%p (CAGR 8.8%, MDD -50.4%, exposure 10%).

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
Keltner 채널 돌파
emaPeriod=14, atrPeriod=29, mult=4
7.7%-34.8%0.660.229.0x223%
볼린저 밴드 돌파
n=49, k=3.4
8.8%-50.4%0.560.1812.5x3210%
Supertrend
period=11, mult=2.4
11.7%-72.8%0.500.1627.1x26550%
EMA 크로스오버
fast=77, slow=93
11.6%-66.7%0.490.1726.4x4450%
MACD
fast=7, slow=40, signal=65
10.6%-62.0%0.470.1720.3x29950%
SMA 크로스오버
fast=14, slow=201
10.0%-59.1%0.450.1717.1x6449%
ADX / DI 방향성
period=23, threshold=35
5.3%-44.0%0.430.124.7x366%
Donchian 채널 돌파
entryN=67, exitN=7
6.2%-54.8%0.390.116.1x11815%
ROC 모멘텀
n=143, threshold=0.05
7.3%-71.0%0.380.108.1x22844%
Parabolic SAR
step=0.015, maxStep=0.16
4.4%-72.0%0.300.063.6x47750%
Buy and hold9.4%-92.1%0.430.1014.4x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 SupertrendKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -23% -46% -69% -92% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrendKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -34.8% (2007-05-29 → 2014-03-11), recovered after 3,494 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CN assetsAll asset reports

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