Trend-Following Backtester · Guide · backtest 한국어

equity · US

FTAI Aviation Ltd. backtest

10 trend-following strategies were compared on the full daily history of FTAI Aviation Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 28.8%, MDD -29.8%).

Data 2015-05-14 ~ 2026-07-31daily bars 2,820 (11.2 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 26.6%, drawdown -73.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.8%, MDD -29.8%, Sharpe 1.18, 43% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 31.0%, MDD -53.2%, exposure 51%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 28.8%, MDD -29.8%, exposure 43%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=108, exitN=26
28.8%-29.8%1.180.9717.1x1843%
볼린저 밴드 돌파
n=53, k=1.8
25.1%-30.4%1.030.8212.3x4849%
ROC 모멘텀
n=124, threshold=0.12
31.0%-53.2%1.020.5820.7x5851%
SMA 크로스오버
fast=25, slow=88
30.4%-52.9%0.990.5719.6x2465%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=22, mult=4
21.5%-26.6%0.980.818.9x2640%
EMA 크로스오버
fast=22, slow=98
25.8%-54.2%0.870.4813.2x2262%
Supertrend
period=12, mult=4.2
24.1%-50.8%0.850.4711.2x3262%
ADX / DI 방향성
period=49, threshold=8
19.0%-52.7%0.750.367.0x9256%
Parabolic SAR
step=0.035, maxStep=0.3
18.8%-47.6%0.680.396.9x33654%
MACD
fast=6, slow=19, signal=5
11.1%-45.8%0.480.243.3x36849%
Buy and hold26.6%-73.5%0.720.3614.1x1100%
1x 10x 2016 2018 2020 2022 2024 2026 ROC 모멘텀Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -18% -37% -55% -74% 2016 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -29.8% (2024-11-21 → 2025-08-08), recovered after 418 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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