Trend-Following Backtester · Guide · backtest 한국어
equity · CN
AECC Aviation Power Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of AECC Aviation Power Co Ltd Class A. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 12.8%, MDD -51.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.3%, drawdown -81.3%).
Sharpe leader (same as main): MACD — CAGR 12.8%, MDD -51.8%, Sharpe 0.54, 47% exposure.
Return/drawdown alternative: MACD — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 12.8%, MDD -51.8%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=36, signal=16 |
12.8% | -51.8% | 0.54 | 0.25 | 38.6x | 359 | 47% |
| Supertrend period=4, mult=2.2 |
10.0% | -63.7% | 0.46 | 0.16 | 17.9x | 264 | 55% |
| Parabolic SAR step=0.01, maxStep=0.12 |
9.5% | -64.4% | 0.45 | 0.15 | 15.6x | 350 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=61 |
7.6% | -79.4% | 0.39 | 0.10 | 9.2x | 92 | 81% |
| 볼린저 밴드 돌파 n=24, k=1.2 |
6.7% | -57.7% | 0.37 | 0.12 | 7.1x | 314 | 41% |
| SMA 크로스오버 fast=73, slow=216 |
5.4% | -64.5% | 0.33 | 0.08 | 4.9x | 42 | 50% |
| EMA 크로스오버 fast=53, slow=204 |
4.2% | -70.5% | 0.29 | 0.06 | 3.5x | 36 | 52% |
| ROC 모멘텀 n=149, threshold=0.09 |
4.2% | -75.3% | 0.29 | 0.06 | 3.5x | 224 | 39% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=1.9 |
3.1% | -65.9% | 0.25 | 0.05 | 2.5x | 154 | 31% |
| ADX / DI 방향성 period=27, threshold=36 |
1.6% | -39.9% | 0.21 | 0.04 | 1.6x | 12 | 7% |
| Buy and hold | 8.3% | -81.3% | 0.41 | 0.10 | 11.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/36) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line