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.. 4 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 28.5%, MDD -29.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 25.5%, drawdown -73.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.5%, MDD -29.8%, Sharpe 1.18, 42% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 30.8%, MDD -53.2%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 28.5%, MDD -29.8%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=108, exitN=26 |
28.5% | -29.8% | 1.18 | 0.96 | 17.1x | 18 | 42% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
24.9% | -30.4% | 1.02 | 0.82 | 12.3x | 48 | 49% |
| ROC 모멘텀 n=124, threshold=0.12 |
30.8% | -53.2% | 1.02 | 0.58 | 20.7x | 58 | 51% |
| SMA 크로스오버 fast=25, slow=88 |
30.1% | -52.9% | 0.99 | 0.57 | 19.6x | 24 | 64% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=22, mult=4 |
21.4% | -26.6% | 0.98 | 0.80 | 8.9x | 26 | 39% |
| EMA 크로스오버 fast=22, slow=98 |
25.6% | -54.2% | 0.86 | 0.47 | 13.2x | 22 | 62% |
| Supertrend period=12, mult=4.2 |
23.9% | -50.8% | 0.85 | 0.47 | 11.2x | 32 | 62% |
| ADX / DI 방향성 period=49, threshold=8 |
18.8% | -52.7% | 0.75 | 0.36 | 7.0x | 92 | 56% |
| Parabolic SAR step=0.035, maxStep=0.3 |
17.8% | -47.6% | 0.65 | 0.37 | 6.4x | 338 | 54% |
| MACD fast=6, slow=19, signal=5 |
10.6% | -45.8% | 0.46 | 0.23 | 3.1x | 372 | 49% |
| Buy and hold | 25.5% | -73.5% | 0.70 | 0.35 | 13.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 108 days
- Sell — Sell when price breaks below the lowest low of the last 26 days