Trend-Following Backtester · Guide · backtest 한국어
equity · US
JetBlue Airways Corporation backtest
10 trend-following strategies were compared on the full daily history of JetBlue Airways Corporation. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -23.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR -3.2%, drawdown -90.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -23.2%, Sharpe 0.23, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 67.7%p (CAGR 0.9%, MDD -23.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=35 |
0.9% | -23.2% | 0.23 | 0.04 | 1.3x | 4 | 1% |
| Donchian 채널 돌파 entryN=49, exitN=27 |
-1.1% | -69.9% | 0.10 | -0.02 | 0.8x | 74 | 36% |
| Supertrend period=9, mult=4.3 |
-3.8% | -89.7% | 0.05 | -0.04 | 0.4x | 97 | 48% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=20, mult=2.8 |
-1.4% | -67.9% | 0.03 | -0.02 | 0.7x | 76 | 19% |
| MACD fast=13, slow=28, signal=14 |
-5.2% | -86.2% | 0.03 | -0.06 | 0.3x | 363 | 53% |
| 볼린저 밴드 돌파 n=40, k=2 |
-3.8% | -86.6% | -0.02 | -0.04 | 0.4x | 126 | 30% |
| SMA 크로스오버 fast=31, slow=201 |
-6.3% | -93.5% | -0.04 | -0.07 | 0.2x | 51 | 45% |
| EMA 크로스오버 fast=26, slow=217 |
-4.9% | -89.8% | -0.04 | -0.05 | 0.3x | 49 | 40% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-7.7% | -91.4% | -0.06 | -0.08 | 0.1x | 222 | 50% |
| ROC 모멘텀 n=95, threshold=-0.01 |
-7.4% | -95.0% | -0.06 | -0.08 | 0.2x | 275 | 50% |
| Buy and hold | -3.2% | -90.9% | 0.19 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)