Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allegiant Travel Company backtest
10 trend-following strategies were compared on the full daily history of Allegiant Travel Company. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.6%, MDD -50.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.2%, drawdown -86.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.6%, MDD -50.2%, Sharpe 0.47, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 10.6%, MDD -50.2%, exposure 54%).
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=30, slow=32 |
10.6% | -50.2% | 0.47 | 0.21 | 7.2x | 75 | 54% |
| SMA 크로스오버 fast=31, slow=38 |
8.2% | -59.7% | 0.40 | 0.14 | 4.7x | 161 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=68 |
7.8% | -64.6% | 0.38 | 0.12 | 4.3x | 59 | 74% |
| Supertrend period=35, mult=4.5 |
6.4% | -69.3% | 0.35 | 0.09 | 3.4x | 60 | 53% |
| ROC 모멘텀 n=138, threshold=0.02 |
4.5% | -65.4% | 0.30 | 0.07 | 2.4x | 105 | 54% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=14, mult=2.1 |
3.4% | -49.4% | 0.26 | 0.07 | 1.9x | 106 | 25% |
| ADX / DI 방향성 period=25, threshold=15 |
3.3% | -43.0% | 0.26 | 0.08 | 1.9x | 170 | 33% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
1.6% | -18.7% | 0.24 | 0.08 | 1.4x | 6 | 2% |
| MACD fast=16, slow=45, signal=17 |
-3.8% | -81.6% | 0.04 | -0.05 | 0.5x | 244 | 50% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-4.0% | -85.7% | 0.03 | -0.05 | 0.4x | 276 | 51% |
| Buy and hold | 7.2% | -86.5% | 0.38 | 0.08 | 3.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 32-day EMA
- Sell — Sell when the 30-day EMA falls below the 32-day EMA