Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Finnair Oyj backtest
10 trend-following strategies were compared on the full daily history of Finnair Oyj. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -38.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.6%, drawdown -95.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -38.9%, Sharpe 0.71, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.8%, MDD -46.5%, exposure 44%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 9.9%, MDD -38.9%, exposure 18%).
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=109, exitN=11 |
9.9% | -38.9% | 0.71 | 0.25 | 12.2x | 56 | 18% |
| SMA 크로스오버 fast=51, slow=109 |
10.8% | -46.5% | 0.55 | 0.23 | 15.1x | 51 | 44% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
7.0% | -48.9% | 0.46 | 0.14 | 6.1x | 72 | 23% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=23, mult=2.3 |
8.2% | -44.6% | 0.46 | 0.18 | 8.2x | 108 | 25% |
| EMA 크로스오버 fast=47, slow=64 |
7.8% | -60.6% | 0.44 | 0.13 | 7.4x | 57 | 44% |
| ADX / DI 방향성 period=34, threshold=24 |
4.8% | -51.5% | 0.44 | 0.09 | 3.5x | 37 | 12% |
| Supertrend period=24, mult=4.3 |
5.3% | -70.0% | 0.32 | 0.08 | 3.9x | 88 | 44% |
| ROC 모멘텀 n=81, threshold=-0.01 |
2.8% | -74.6% | 0.23 | 0.04 | 2.1x | 221 | 46% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.1% | -82.2% | 0.21 | 0.03 | 1.7x | 212 | 49% |
| MACD fast=19, slow=41, signal=24 |
0.7% | -86.0% | 0.17 | 0.01 | 1.2x | 242 | 52% |
| Buy and hold | -3.6% | -95.0% | 0.11 | -0.04 | 0.4x | 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 109 days
- Sell — Sell when price breaks below the lowest low of the last 11 days