Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Air Canada backtest
10 trend-following strategies were compared on the full daily history of Air Canada. 9 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 19.7%, MDD -37.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.0%, drawdown -78.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.7%, MDD -37.6%, Sharpe 0.91, 28% exposure.
CAGR reference leader: Supertrend — CAGR 23.3%, MDD -51.1%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 19.7%, MDD -37.6%, exposure 28%).
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=35, atrPeriod=33, mult=3.2 |
19.7% | -37.6% | 0.91 | 0.53 | 19.0x | 55 | 28% |
| Supertrend period=10, mult=3.3 |
23.3% | -51.1% | 0.87 | 0.46 | 30.5x | 93 | 50% |
| 볼린저 밴드 돌파 n=40, k=1.4 |
21.6% | -50.2% | 0.86 | 0.43 | 24.5x | 99 | 41% |
| ROC 모멘텀 n=146, threshold=0.12 |
21.3% | -46.6% | 0.81 | 0.46 | 23.6x | 83 | 47% |
| EMA 크로스오버 fast=51, slow=53 |
20.7% | -59.6% | 0.79 | 0.35 | 21.7x | 41 | 56% |
| Parabolic SAR step=0.02, maxStep=0.12 |
21.3% | -58.7% | 0.77 | 0.36 | 23.4x | 291 | 51% |
| Donchian 채널 돌파 entryN=69, exitN=23 |
16.1% | -54.3% | 0.74 | 0.30 | 11.4x | 51 | 36% |
| SMA 크로스오버 fast=13, slow=95 |
18.8% | -55.4% | 0.74 | 0.34 | 16.6x | 57 | 54% |
| ADX / DI 방향성 period=22, threshold=29 |
12.2% | -34.6% | 0.73 | 0.35 | 6.5x | 46 | 17% |
| MACD fast=15, slow=59, signal=10 |
18.9% | -58.7% | 0.70 | 0.32 | 16.9x | 211 | 50% |
| Buy and hold | 16.0% | -78.9% | 0.55 | 0.20 | 11.4x | 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 35-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-day average