Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alaska Air Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alaska Air Group, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -82.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -83.7%, Sharpe 0.39, 89% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=4, exitN=64 |
7.8% | -83.7% | 0.39 | 0.09 | 32.1x | 227 | 89% |
| MACD fast=24, slow=62, signal=22 |
5.7% | -75.0% | 0.34 | 0.08 | 13.2x | 382 | 52% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
4.1% | -42.8% | 0.32 | 0.10 | 6.5x | 76 | 18% |
| ADX / DI 방향성 period=20, threshold=29 |
3.6% | -31.6% | 0.32 | 0.11 | 5.1x | 98 | 11% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.1% | -70.5% | 0.28 | 0.06 | 6.4x | 376 | 55% |
| SMA 크로스오버 fast=44, slow=131 |
3.6% | -85.9% | 0.27 | 0.04 | 5.3x | 105 | 55% |
| Supertrend period=24, mult=4.7 |
3.5% | -77.8% | 0.26 | 0.04 | 4.9x | 172 | 54% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=2.6 |
1.9% | -59.6% | 0.19 | 0.03 | 2.4x | 198 | 33% |
| EMA 크로스오버 fast=36, slow=37 |
1.2% | -88.5% | 0.19 | 0.01 | 1.8x | 194 | 56% |
| ROC 모멘텀 n=135, threshold=0.1 |
1.0% | -91.8% | 0.16 | 0.01 | 1.6x | 358 | 40% |
| Buy and hold | 8.6% | -82.7% | 0.41 | 0.10 | 46.8x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 64 days