Trend-Following Backtester · Guide · backtest 한국어
equity · US
SkyWest, Inc. backtest
10 trend-following strategies were compared on the full daily history of SkyWest, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.8%, MDD -60.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -81.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -84.0%, Sharpe 0.48, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by -2.2%p (CAGR 10.8%, MDD -60.4%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=101 |
11.3% | -84.0% | 0.48 | 0.13 | 72.4x | 99 | 56% |
| EMA 크로스오버 fast=19, slow=119 |
10.8% | -60.4% | 0.47 | 0.18 | 61.9x | 97 | 56% |
| Supertrend period=18, mult=5 |
11.0% | -84.4% | 0.47 | 0.13 | 65.8x | 105 | 56% |
| Parabolic SAR step=0.005, maxStep=0.06 |
9.6% | -63.4% | 0.44 | 0.15 | 40.1x | 315 | 52% |
| Donchian 채널 돌파 entryN=22, exitN=66 |
9.5% | -73.9% | 0.43 | 0.13 | 38.6x | 119 | 74% |
| MACD fast=26, slow=82, signal=25 |
9.2% | -66.5% | 0.43 | 0.14 | 34.4x | 303 | 50% |
| ADX / DI 방향성 period=48, threshold=9 |
7.2% | -67.9% | 0.38 | 0.11 | 16.5x | 303 | 49% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=26, mult=1.9 |
4.9% | -68.2% | 0.31 | 0.07 | 6.9x | 241 | 34% |
| 볼린저 밴드 돌파 n=30, k=2.1 |
4.0% | -63.4% | 0.28 | 0.06 | 4.8x | 253 | 30% |
| ROC 모멘텀 n=117, threshold=0.01 |
2.4% | -83.8% | 0.24 | 0.03 | 2.6x | 393 | 55% |
| Buy and hold | 10.9% | -81.8% | 0.46 | 0.13 | 63.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 44-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 44-day average falls below the 101-day average