Trend-Following Backtester · Guide · backtest 한국어
equity · US
Frontier Group Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Frontier Group Holdings, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.6%, MDD -45.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.6%, drawdown -87.0%).
Sharpe leader (same as main): MACD — CAGR 25.5%, MDD -47.2%, Sharpe 0.70, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 43.1%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 17.6%, MDD -45.8%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=41, signal=16 |
25.5% | -47.2% | 0.70 | 0.54 | 3.4x | 62 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
22.2% | -56.6% | 0.66 | 0.39 | 2.9x | 97 | 47% |
| Donchian 채널 돌파 entryN=8, exitN=33 |
22.7% | -58.3% | 0.64 | 0.39 | 3.0x | 27 | 63% |
| Supertrend period=9, mult=2.9 |
17.6% | -45.8% | 0.58 | 0.38 | 2.4x | 37 | 43% |
| 볼린저 밴드 돌파 n=16, k=1 |
14.8% | -52.9% | 0.53 | 0.28 | 2.1x | 85 | 35% |
| ADX / DI 방향성 period=34, threshold=5 |
6.5% | -51.3% | 0.37 | 0.13 | 1.4x | 59 | 46% |
| SMA 크로스오버 fast=7, slow=64 |
5.9% | -57.9% | 0.35 | 0.10 | 1.4x | 23 | 42% |
| ROC 모멘텀 n=43, threshold=0.08 |
5.8% | -65.3% | 0.34 | 0.09 | 1.3x | 49 | 35% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=29, mult=0.7 |
5.6% | -52.1% | 0.34 | 0.11 | 1.3x | 43 | 37% |
| EMA 크로스오버 fast=3, slow=52 |
4.8% | -55.2% | 0.33 | 0.09 | 1.3x | 43 | 40% |
| Buy and hold | -17.6% | -87.0% | 0.06 | -0.20 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/41) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line