Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Air France-KLM SA backtest
10 trend-following strategies were compared on the full daily history of Air France-KLM SA. 10 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 4.7%, MDD -23.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.7%, drawdown -96.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.7%, MDD -23.2%, Sharpe 0.53, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 73.1%p (CAGR 4.7%, MDD -23.2%, exposure 7%).
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=37, threshold=23 |
4.7% | -23.2% | 0.53 | 0.20 | 3.4x | 22 | 7% |
| Supertrend period=28, mult=3.2 |
4.6% | -71.9% | 0.29 | 0.06 | 3.3x | 166 | 47% |
| ROC 모멘텀 n=110, threshold=0.13 |
3.7% | -71.9% | 0.28 | 0.05 | 2.6x | 166 | 30% |
| 볼린저 밴드 돌파 n=36, k=1.4 |
3.2% | -65.8% | 0.25 | 0.05 | 2.3x | 194 | 36% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=4 |
2.2% | -67.3% | 0.21 | 0.03 | 1.8x | 50 | 18% |
| Donchian 채널 돌파 entryN=66, exitN=56 |
2.0% | -68.7% | 0.20 | 0.03 | 1.7x | 53 | 44% |
| SMA 크로스오버 fast=30, slow=147 |
1.3% | -78.7% | 0.17 | 0.02 | 1.4x | 53 | 44% |
| EMA 크로스오버 fast=48, slow=88 |
-0.1% | -77.9% | 0.12 | -0.00 | 1.0x | 55 | 45% |
| MACD fast=17, slow=58, signal=12 |
-3.3% | -83.1% | 0.05 | -0.04 | 0.4x | 318 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.8% | -87.0% | 0.05 | -0.03 | 0.5x | 240 | 49% |
| Buy and hold | -7.7% | -96.4% | 0.04 | -0.08 | 0.1x | 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, 37-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)