Trend-Following Backtester · Guide · backtest 한국어

equity · US

Southwest Airlines Company backtest

10 trend-following strategies were compared on the full daily history of Southwest Airlines Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.

Data 1980-01-02 ~ 2026-07-31daily bars 11,740 (46.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.3%, drawdown -78.5%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -69.9%, Sharpe 0.49, 57% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=24, slow=77
9.9%-69.9%0.490.1480.9x16757%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=27, mult=1.4
7.5%-59.7%0.420.1328.6x31446%
Donchian 채널 돌파
entryN=83, exitN=50
7.4%-70.4%0.420.1127.8x9545%
EMA 크로스오버
fast=59, slow=101
7.9%-71.9%0.420.1135.1x9157%
볼린저 밴드 돌파
n=55, k=2.8
5.3%-44.1%0.390.1211.1x9422%
ADX / DI 방향성
period=50, threshold=27
1.8%-13.8%0.360.132.3x62%
ROC 모멘텀
n=72, threshold=0.01
5.8%-77.3%0.350.0814.1x52156%
Supertrend
period=10, mult=4.8
5.7%-72.3%0.340.0813.5x17357%
Parabolic SAR
step=0.005, maxStep=0.12
4.8%-74.4%0.310.068.9x38654%
MACD
fast=22, slow=47, signal=24
2.8%-67.6%0.240.043.7x43651%
Buy and hold12.3%-78.5%0.500.16219.7x1100%
1x 10x 100x 1981 1987 1993 1999 2005 2011 2017 2023 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -78% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -69.9% (2017-07-07 → 2025-11-04), prior peak not yet recovered.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next