Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Airlines Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of United Airlines Holdings, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.6%, MDD -40.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.8%, drawdown -93.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.6%, MDD -40.9%, Sharpe 0.49, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.8%, MDD -80.9%, exposure 88%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 8.6%, MDD -40.9%, exposure 15%).
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=19, k=2.7 |
8.6% | -40.9% | 0.49 | 0.21 | 5.5x | 74 | 15% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=2.9 |
9.1% | -47.4% | 0.48 | 0.19 | 6.0x | 66 | 22% |
| Donchian 채널 돌파 entryN=8, exitN=71 |
10.8% | -80.9% | 0.45 | 0.13 | 8.2x | 67 | 88% |
| SMA 크로스오버 fast=40, slow=75 |
9.0% | -64.2% | 0.41 | 0.14 | 5.8x | 97 | 56% |
| ADX / DI 방향성 period=27, threshold=35 |
1.8% | -10.7% | 0.39 | 0.17 | 1.4x | 4 | 2% |
| EMA 크로스오버 fast=40, slow=112 |
6.7% | -55.5% | 0.36 | 0.12 | 3.8x | 41 | 57% |
| MACD fast=17, slow=51, signal=14 |
4.0% | -90.8% | 0.31 | 0.04 | 2.2x | 238 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
3.4% | -79.8% | 0.29 | 0.04 | 2.0x | 370 | 53% |
| ROC 모멘텀 n=69, threshold=-0.08 |
3.1% | -75.8% | 0.28 | 0.04 | 1.9x | 209 | 70% |
| Supertrend period=17, mult=3.3 |
2.8% | -77.6% | 0.26 | 0.04 | 1.8x | 138 | 50% |
| Buy and hold | 5.8% | -93.9% | 0.40 | 0.06 | 3.2x | 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 19-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 19-day middle average