Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Auckland International Airport Limited backtest
10 trend-following strategies were compared on the full daily history of Auckland International Airport Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.0%, MDD -33.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -55.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -33.9%, Sharpe 0.47, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 21.8%p (CAGR 7.0%, MDD -33.9%, exposure 66%).
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=50, slow=199 |
7.0% | -33.9% | 0.47 | 0.21 | 6.1x | 35 | 66% |
| EMA 크로스오버 fast=67, slow=127 |
6.8% | -42.2% | 0.45 | 0.16 | 5.7x | 33 | 70% |
| ROC 모멘텀 n=118, threshold=-0.09 |
6.2% | -53.1% | 0.40 | 0.12 | 4.9x | 125 | 86% |
| Donchian 채널 돌파 entryN=77, exitN=38 |
4.5% | -36.5% | 0.37 | 0.12 | 3.2x | 53 | 47% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=9, mult=2.9 |
2.4% | -32.1% | 0.24 | 0.07 | 1.9x | 88 | 45% |
| MACD fast=41, slow=101, signal=41 |
2.2% | -48.4% | 0.21 | 0.04 | 1.8x | 133 | 52% |
| 볼린저 밴드 돌파 n=34, k=3.3 |
1.1% | -19.9% | 0.21 | 0.06 | 1.4x | 24 | 7% |
| Supertrend period=7, mult=5 |
1.6% | -40.0% | 0.18 | 0.04 | 1.5x | 84 | 61% |
| ADX / DI 방향성 period=35, threshold=28 |
0.3% | -21.2% | 0.08 | 0.01 | 1.1x | 12 | 5% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.4% | -65.3% | -0.00 | -0.02 | 0.7x | 207 | 55% |
| Buy and hold | 8.8% | -55.7% | 0.47 | 0.16 | 9.4x | 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 50-day average price crosses above the 199-day average
- Sell — Sell (to cash) when the 50-day average falls below the 199-day average