Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Jet2 PLC backtest
10 trend-following strategies were compared on the full daily history of Jet2 PLC. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 18.4%, MDD -34.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 14.7%, drawdown -92.0%).
Sharpe leader (same as main): Supertrend — CAGR 25.8%, MDD -54.4%, Sharpe 0.96, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 18.4%, MDD -34.6%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=4, mult=4.6 |
25.8% | -54.4% | 0.96 | 0.47 | 5800.9x | 183 | 55% |
| 볼린저 밴드 돌파 n=27, k=2.4 |
18.4% | -34.6% | 0.91 | 0.53 | 592.2x | 192 | 31% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=14, mult=1.5 |
19.9% | -49.9% | 0.87 | 0.40 | 942.9x | 245 | 43% |
| ADX / DI 방향성 period=18, threshold=23 |
14.2% | -65.5% | 0.76 | 0.22 | 147.8x | 231 | 35% |
| Donchian 채널 돌파 entryN=66, exitN=47 |
17.2% | -52.1% | 0.74 | 0.33 | 402.8x | 87 | 52% |
| ROC 모멘텀 n=68, threshold=0.02 |
17.4% | -52.8% | 0.72 | 0.33 | 425.9x | 287 | 54% |
| SMA 크로스오버 fast=20, slow=102 |
16.3% | -61.9% | 0.68 | 0.26 | 296.2x | 97 | 56% |
| EMA 크로스오버 fast=30, slow=69 |
16.4% | -57.4% | 0.68 | 0.28 | 304.9x | 91 | 57% |
| Parabolic SAR step=0.025, maxStep=0.16 |
16.1% | -65.7% | 0.66 | 0.24 | 279.1x | 716 | 51% |
| MACD fast=6, slow=48, signal=15 |
13.1% | -77.3% | 0.56 | 0.17 | 105.4x | 574 | 49% |
| Buy and hold | 14.7% | -92.0% | 0.53 | 0.16 | 176.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 4-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)