Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Qantas Airways Limited backtest
10 trend-following strategies were compared on the full daily history of Qantas Airways Limited. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.8%, MDD -14.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.9%, drawdown -84.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.8%, MDD -14.3%, Sharpe 0.58, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.6%, MDD -46.4%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 69.8%p (CAGR 5.8%, MDD -14.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=28 |
5.8% | -14.3% | 0.58 | 0.41 | 5.7x | 38 | 12% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
4.4% | -17.1% | 0.48 | 0.26 | 3.8x | 50 | 11% |
| Donchian 채널 돌파 entryN=83, exitN=62 |
7.6% | -46.4% | 0.46 | 0.16 | 9.6x | 52 | 49% |
| SMA 크로스오버 fast=41, slow=148 |
6.9% | -55.9% | 0.42 | 0.12 | 7.8x | 59 | 52% |
| EMA 크로스오버 fast=10, slow=151 |
6.7% | -51.9% | 0.41 | 0.13 | 7.4x | 95 | 52% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=4 |
3.2% | -23.7% | 0.40 | 0.14 | 2.7x | 36 | 9% |
| Supertrend period=20, mult=3.5 |
5.9% | -64.8% | 0.36 | 0.09 | 5.9x | 181 | 53% |
| ROC 모멘텀 n=123, threshold=0 |
5.6% | -62.8% | 0.36 | 0.09 | 5.4x | 224 | 51% |
| MACD fast=19, slow=71, signal=43 |
2.4% | -61.4% | 0.22 | 0.04 | 2.1x | 213 | 52% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.0% | -85.6% | 0.16 | 0.01 | 1.4x | 246 | 53% |
| Buy and hold | 4.9% | -84.0% | 0.31 | 0.06 | 4.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)