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. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.7%, MDD -56.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.3%, drawdown -89.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.0%, MDD -60.1%, Sharpe 0.68, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 9.7%, MDD -56.8%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=66, k=1.4 |
14.0% | -60.1% | 0.68 | 0.23 | 54.3x | 111 | 44% |
| Donchian 채널 돌파 entryN=83, exitN=34 |
13.0% | -61.8% | 0.67 | 0.21 | 42.4x | 69 | 41% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=1.6 |
13.4% | -57.5% | 0.65 | 0.23 | 46.7x | 167 | 46% |
| EMA 크로스오버 fast=13, slow=34 |
13.9% | -74.6% | 0.63 | 0.19 | 53.6x | 155 | 56% |
| SMA 크로스오버 fast=9, slow=41 |
12.8% | -74.6% | 0.59 | 0.17 | 40.2x | 213 | 55% |
| Supertrend period=8, mult=4.4 |
12.9% | -67.3% | 0.58 | 0.19 | 40.5x | 135 | 55% |
| ADX / DI 방향성 period=42, threshold=16 |
9.7% | -56.8% | 0.56 | 0.17 | 16.9x | 108 | 32% |
| ROC 모멘텀 n=143, threshold=0.02 |
9.7% | -62.1% | 0.49 | 0.16 | 16.8x | 216 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
8.6% | -73.5% | 0.44 | 0.12 | 12.4x | 225 | 56% |
| MACD fast=17, slow=45, signal=33 |
6.3% | -70.4% | 0.36 | 0.09 | 6.4x | 263 | 53% |
| Buy and hold | 7.3% | -89.4% | 0.37 | 0.08 | 8.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 66-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 66-day middle average