Trend-Following Backtester · Guide · backtest 한국어
equity · GB
International Consolidated Airlines Group SA backtest
10 trend-following strategies were compared on the full daily history of International Consolidated Airlines Group SA. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.6%, MDD -56.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.8%, drawdown -87.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -60.1%, Sharpe 0.51, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 27.4%p (CAGR 9.6%, MDD -56.8%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=192 |
10.0% | -60.1% | 0.51 | 0.17 | 9.4x | 23 | 56% |
| Donchian 채널 돌파 entryN=67, exitN=55 |
9.6% | -56.8% | 0.50 | 0.17 | 8.7x | 39 | 51% |
| SMA 크로스오버 fast=11, slow=206 |
9.1% | -57.1% | 0.48 | 0.16 | 7.8x | 45 | 55% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
1.6% | -8.8% | 0.47 | 0.19 | 1.5x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=3.9 |
2.6% | -21.4% | 0.41 | 0.12 | 1.8x | 14 | 4% |
| Supertrend period=28, mult=4.7 |
6.5% | -69.2% | 0.37 | 0.09 | 4.4x | 71 | 56% |
| ROC 모멘텀 n=115, threshold=-0.01 |
5.5% | -77.9% | 0.33 | 0.07 | 3.5x | 155 | 59% |
| ADX / DI 방향성 period=24, threshold=29 |
1.7% | -25.1% | 0.23 | 0.07 | 1.5x | 28 | 8% |
| MACD fast=12, slow=20, signal=15 |
1.5% | -69.1% | 0.20 | 0.02 | 1.4x | 400 | 52% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-1.4% | -81.8% | 0.10 | -0.02 | 0.7x | 328 | 54% |
| Buy and hold | 4.8% | -87.5% | 0.32 | 0.05 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 192-day EMA
- Sell — Sell when the 54-day EMA falls below the 192-day EMA