Trend-Following Backtester · Guide · backtest 한국어
equity · US
Delta Air Lines, Inc. backtest
10 trend-following strategies were compared on the full daily history of Delta Air Lines, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.1%, drawdown -81.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -70.1%, Sharpe 0.38, 81% 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=14, exitN=59 |
7.4% | -70.1% | 0.38 | 0.11 | 4.0x | 63 | 81% |
| MACD fast=18, slow=28, signal=18 |
6.2% | -67.0% | 0.35 | 0.09 | 3.2x | 224 | 51% |
| SMA 크로스오버 fast=12, slow=26 |
3.5% | -77.2% | 0.27 | 0.04 | 1.9x | 198 | 54% |
| ROC 모멘텀 n=99, threshold=0.06 |
3.4% | -63.4% | 0.26 | 0.05 | 1.9x | 161 | 47% |
| 볼린저 밴드 돌파 n=22, k=2.4 |
2.9% | -43.9% | 0.24 | 0.07 | 1.7x | 112 | 24% |
| Supertrend period=27, mult=4.8 |
1.5% | -72.8% | 0.22 | 0.02 | 1.3x | 70 | 58% |
| Parabolic SAR step=0.02, maxStep=0.14 |
1.1% | -73.8% | 0.19 | 0.01 | 1.2x | 388 | 54% |
| EMA 크로스오버 fast=54, slow=132 |
1.0% | -76.9% | 0.18 | 0.01 | 1.2x | 39 | 58% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=30, mult=2.7 |
1.2% | -31.9% | 0.16 | 0.04 | 1.3x | 54 | 11% |
| ADX / DI 방향성 period=39, threshold=19 |
0.8% | -40.3% | 0.13 | 0.02 | 1.2x | 28 | 9% |
| Buy and hold | 7.1% | -81.7% | 0.39 | 0.09 | 3.7x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 59 days