Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Montana Aerospace AG backtest
10 trend-following strategies were compared on the full daily history of Montana Aerospace AG. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -8.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -75.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.6%, MDD -8.5%, Sharpe 0.85, 5% exposure.
CAGR reference leader: MACD — CAGR 18.1%, MDD -38.6%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR 6.6%, MDD -8.5%, exposure 5%).
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=18, k=3.2 |
6.6% | -8.5% | 0.85 | 0.77 | 1.4x | 4 | 5% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=21, mult=2.2 |
8.4% | -9.0% | 0.80 | 0.94 | 1.5x | 12 | 7% |
| MACD fast=9, slow=32, signal=10 |
18.1% | -38.6% | 0.70 | 0.47 | 2.5x | 84 | 50% |
| Donchian 채널 돌파 entryN=27, exitN=2 |
8.5% | -17.5% | 0.59 | 0.48 | 1.6x | 42 | 13% |
| ADX / DI 방향성 period=28, threshold=20 |
9.8% | -25.7% | 0.58 | 0.38 | 1.7x | 22 | 25% |
| Supertrend period=8, mult=2.6 |
13.5% | -45.0% | 0.56 | 0.30 | 2.0x | 42 | 51% |
| ROC 모멘텀 n=133, threshold=0.08 |
7.2% | -32.3% | 0.41 | 0.22 | 1.5x | 24 | 36% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.4% | -60.7% | 0.32 | 0.09 | 1.3x | 89 | 50% |
| EMA 크로스오버 fast=10, slow=18 |
4.6% | -47.4% | 0.30 | 0.10 | 1.3x | 50 | 49% |
| SMA 크로스오버 fast=42, slow=151 |
2.5% | -44.0% | 0.23 | 0.06 | 1.1x | 9 | 44% |
| Buy and hold | -0.9% | -75.0% | 0.23 | -0.01 | 1.0x | 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 18-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 18-day middle average