Trend-Following Backtester · Guide · backtest 한국어
equity · CL
LATAM Airlines Group SA backtest
10 trend-following strategies were compared on the full daily history of LATAM Airlines Group SA. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -16.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.3%, drawdown -99.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.8%, MDD -39.5%, Sharpe 0.86, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 60.0%p (CAGR 3.3%, MDD -16.0%, exposure 4%).
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=52, atrPeriod=11, mult=3 |
14.8% | -39.5% | 0.86 | 0.38 | 39.5x | 79 | 37% |
| ADX / DI 방향성 period=22, threshold=41 |
3.3% | -16.0% | 0.57 | 0.20 | 2.3x | 20 | 4% |
| Supertrend period=20, mult=2.2 |
8.4% | -69.0% | 0.43 | 0.12 | 8.5x | 282 | 48% |
| 볼린저 밴드 돌파 n=18, k=1.9 |
7.7% | -85.0% | 0.43 | 0.09 | 7.2x | 248 | 32% |
| Donchian 채널 돌파 entryN=75, exitN=66 |
13.3% | -92.2% | 0.37 | 0.14 | 27.5x | 33 | 50% |
| EMA 크로스오버 fast=53, slow=63 |
5.1% | -95.5% | 0.35 | 0.05 | 3.7x | 41 | 53% |
| SMA 크로스오버 fast=37, slow=152 |
4.9% | -96.9% | 0.34 | 0.05 | 3.6x | 33 | 54% |
| ROC 모멘텀 n=108, threshold=-0.01 |
10.0% | -86.3% | 0.34 | 0.12 | 12.7x | 173 | 57% |
| MACD fast=9, slow=23, signal=14 |
9.4% | -78.4% | 0.32 | 0.12 | 10.9x | 456 | 49% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.4% | -96.9% | 0.31 | 0.04 | 2.4x | 292 | 51% |
| Buy and hold | -2.3% | -99.5% | 0.27 | -0.02 | 0.5x | 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 52-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 52-day average