Trend-Following Backtester · Guide · backtest 한국어
equity · GB
easyJet plc backtest
10 trend-following strategies were compared on the full daily history of easyJet plc. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -9.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.8%, drawdown -85.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -9.8%, Sharpe 0.53, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.9%, MDD -67.7%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 75.3%p (CAGR 2.7%, MDD -9.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=33 |
2.7% | -9.8% | 0.53 | 0.27 | 2.0x | 4 | 3% |
| Donchian 채널 돌파 entryN=22, exitN=24 |
10.9% | -67.7% | 0.50 | 0.16 | 14.3x | 107 | 55% |
| Supertrend period=11, mult=4.7 |
8.1% | -65.2% | 0.42 | 0.12 | 7.4x | 77 | 53% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=2.6 |
6.1% | -48.6% | 0.40 | 0.13 | 4.6x | 89 | 31% |
| EMA 크로스오버 fast=21, slow=90 |
6.6% | -69.5% | 0.38 | 0.10 | 5.2x | 67 | 53% |
| SMA 크로스오버 fast=37, slow=86 |
6.8% | -66.4% | 0.38 | 0.10 | 5.4x | 67 | 54% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
4.5% | -36.0% | 0.36 | 0.12 | 3.1x | 43 | 18% |
| ROC 모멘텀 n=58, threshold=0.02 |
5.3% | -69.7% | 0.33 | 0.08 | 3.8x | 287 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-3.1% | -92.5% | 0.05 | -0.03 | 0.4x | 469 | 52% |
| MACD fast=19, slow=55, signal=15 |
-3.9% | -84.9% | 0.02 | -0.05 | 0.4x | 300 | 51% |
| Buy and hold | 2.8% | -85.1% | 0.28 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)