Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Flight Centre Travel Group Limited backtest
10 trend-following strategies were compared on the full daily history of Flight Centre Travel Group Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.6%, MDD -43.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.4%, drawdown -89.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -61.3%, Sharpe 0.69, 40% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 14.1%, MDD -71.1%, exposure 47%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 11.6%, MDD -43.0%, exposure 39%).
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=77, exitN=31 |
13.3% | -61.3% | 0.69 | 0.22 | 47.0x | 76 | 40% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=1.4 |
14.0% | -44.5% | 0.67 | 0.31 | 55.7x | 192 | 46% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
14.1% | -71.1% | 0.67 | 0.20 | 57.1x | 136 | 47% |
| EMA 크로스오버 fast=13, slow=33 |
13.6% | -76.7% | 0.62 | 0.18 | 50.1x | 160 | 56% |
| Supertrend period=8, mult=3.3 |
13.4% | -56.8% | 0.61 | 0.24 | 47.5x | 188 | 54% |
| ROC 모멘텀 n=81, threshold=0.1 |
11.6% | -43.0% | 0.60 | 0.27 | 28.9x | 238 | 39% |
| SMA 크로스오버 fast=11, slow=45 |
12.9% | -72.5% | 0.59 | 0.18 | 41.3x | 190 | 55% |
| ADX / DI 방향성 period=28, threshold=15 |
10.9% | -59.2% | 0.58 | 0.18 | 24.2x | 194 | 40% |
| Parabolic SAR step=0.005, maxStep=0.18 |
8.4% | -73.5% | 0.43 | 0.11 | 11.9x | 226 | 56% |
| MACD fast=22, slow=49, signal=39 |
7.8% | -65.9% | 0.41 | 0.12 | 10.1x | 216 | 52% |
| Buy and hold | 6.4% | -89.4% | 0.35 | 0.07 | 6.7x | 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 77 days
- Sell — Sell when price breaks below the lowest low of the last 31 days