Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Cathay Pacific Airways Limited backtest
10 trend-following strategies were compared on the full daily history of Cathay Pacific Airways Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.2%, MDD -49.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.9%, drawdown -75.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.1%, MDD -62.0%, Sharpe 0.25, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 2.2%, MDD -49.9%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=238 |
3.1% | -62.0% | 0.25 | 0.05 | 2.2x | 37 | 51% |
| EMA 크로스오버 fast=40, slow=60 |
2.5% | -70.9% | 0.23 | 0.04 | 2.0x | 73 | 49% |
| Donchian 채널 돌파 entryN=74, exitN=36 |
2.2% | -49.9% | 0.21 | 0.04 | 1.8x | 57 | 36% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
0.6% | -55.7% | 0.12 | 0.01 | 1.2x | 111 | 34% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=11, mult=2.9 |
0.5% | -62.1% | 0.11 | 0.01 | 1.1x | 81 | 31% |
| ROC 모멘텀 n=85, threshold=-0.04 |
-0.1% | -63.6% | 0.11 | -0.00 | 1.0x | 257 | 62% |
| Supertrend period=26, mult=4.9 |
0.0% | -75.5% | 0.10 | 0.00 | 1.0x | 73 | 49% |
| ADX / DI 방향성 period=33, threshold=30 |
0.0% | -0.5% | 0.05 | 0.01 | 1.0x | 2 | 0% |
| MACD fast=10, slow=23, signal=14 |
-2.1% | -75.8% | 0.00 | -0.03 | 0.6x | 447 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.8% | -72.6% | -0.08 | -0.05 | 0.4x | 429 | 50% |
| Buy and hold | 0.9% | -75.8% | 0.19 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 48-day average price crosses above the 238-day average
- Sell — Sell (to cash) when the 48-day average falls below the 238-day average