Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avis Budget Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Avis Budget Group, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.7%, MDD -68.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.3%, drawdown -99.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.6%, MDD -73.9%, Sharpe 0.56, 35% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.1%, MDD -87.6%, exposure 72%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 13.7%, MDD -68.3%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=45, k=2 |
15.6% | -73.9% | 0.56 | 0.21 | 498.0x | 184 | 35% |
| Supertrend period=22, mult=4.1 |
16.0% | -73.4% | 0.55 | 0.22 | 590.8x | 204 | 54% |
| Donchian 채널 돌파 entryN=33, exitN=96 |
16.1% | -87.6% | 0.54 | 0.18 | 599.0x | 77 | 72% |
| EMA 크로스오버 fast=7, slow=53 |
14.8% | -76.5% | 0.53 | 0.19 | 376.8x | 306 | 54% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=1.1 |
13.7% | -68.3% | 0.51 | 0.20 | 249.7x | 396 | 45% |
| MACD fast=20, slow=71, signal=31 |
14.3% | -89.4% | 0.50 | 0.16 | 304.7x | 328 | 52% |
| SMA 크로스오버 fast=10, slow=96 |
12.9% | -81.8% | 0.49 | 0.16 | 182.6x | 152 | 55% |
| ADX / DI 방향성 period=22, threshold=14 |
11.4% | -79.7% | 0.44 | 0.14 | 101.1x | 504 | 44% |
| Parabolic SAR step=0.005, maxStep=0.34 |
10.0% | -83.1% | 0.43 | 0.12 | 60.4x | 364 | 54% |
| ROC 모멘텀 n=90, threshold=0.08 |
9.8% | -86.1% | 0.42 | 0.11 | 54.8x | 399 | 46% |
| Buy and hold | 10.3% | -99.5% | 0.46 | 0.10 | 67.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 45-day average (2× volatility)
- Sell — Sell when the close falls back to the 45-day middle average