Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Montana Aerospace AG backtest
10 trend-following strategies were compared on the full daily history of Montana Aerospace AG. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.3%, MDD -10.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.6%, drawdown -75.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.3%, MDD -10.0%, Sharpe 0.73, 6% exposure.
CAGR reference leader: MACD — CAGR 15.1%, MDD -41.1%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 65.0%p (CAGR 6.3%, MDD -10.0%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=2.8 |
6.3% | -10.0% | 0.73 | 0.63 | 1.4x | 8 | 6% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=17, mult=3.1 |
8.5% | -12.2% | 0.72 | 0.70 | 1.5x | 10 | 10% |
| MACD fast=9, slow=53, signal=7 |
15.1% | -41.1% | 0.61 | 0.37 | 2.1x | 87 | 51% |
| Supertrend period=18, mult=2.5 |
10.6% | -47.3% | 0.49 | 0.22 | 1.7x | 47 | 48% |
| ADX / DI 방향성 period=29, threshold=14 |
9.1% | -36.7% | 0.46 | 0.25 | 1.6x | 42 | 41% |
| ROC 모멘텀 n=128, threshold=0.02 |
6.8% | -32.3% | 0.38 | 0.21 | 1.4x | 24 | 41% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.5% | -60.7% | 0.27 | 0.06 | 1.2x | 87 | 50% |
| Donchian 채널 돌파 entryN=10, exitN=38 |
1.0% | -59.1% | 0.21 | 0.02 | 1.1x | 31 | 72% |
| EMA 크로스오버 fast=9, slow=107 |
1.7% | -33.4% | 0.20 | 0.05 | 1.1x | 16 | 46% |
| SMA 크로스오버 fast=45, slow=147 |
0.1% | -44.0% | 0.15 | 0.00 | 1.0x | 8 | 45% |
| Buy and hold | -0.6% | -75.0% | 0.23 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 14-day middle average