Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Wizz Air Holdings Plc backtest
10 trend-following strategies were compared on the full daily history of Wizz Air Holdings Plc. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.2%, MDD -6.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.5%, drawdown -84.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.8%, MDD -6.8%, Sharpe 0.65, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.9%, MDD -59.7%, exposure 80%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 78.0%p (CAGR 2.2%, MDD -6.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.5 |
3.8% | -6.8% | 0.65 | 0.56 | 1.5x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=22, mult=3.9 |
2.2% | -6.1% | 0.54 | 0.36 | 1.3x | 2 | 3% |
| ADX / DI 방향성 period=25, threshold=38 |
1.9% | -6.1% | 0.51 | 0.32 | 1.2x | 2 | 2% |
| Donchian 채널 돌파 entryN=7, exitN=41 |
9.9% | -59.7% | 0.44 | 0.17 | 3.0x | 49 | 80% |
| MACD fast=14, slow=38, signal=17 |
-0.8% | -67.5% | 0.13 | -0.01 | 0.9x | 150 | 50% |
| ROC 모멘텀 n=142, threshold=0.02 |
-1.1% | -56.6% | 0.10 | -0.02 | 0.9x | 76 | 45% |
| SMA 크로스오버 fast=25, slow=89 |
-1.9% | -70.2% | 0.10 | -0.03 | 0.8x | 33 | 57% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.8% | -75.9% | 0.08 | -0.04 | 0.7x | 100 | 56% |
| EMA 크로스오버 fast=53, slow=55 |
-3.5% | -72.0% | 0.05 | -0.05 | 0.7x | 31 | 56% |
| Supertrend period=22, mult=4.9 |
-4.1% | -76.0% | 0.04 | -0.05 | 0.6x | 33 | 58% |
| Buy and hold | -1.5% | -84.7% | 0.21 | -0.02 | 0.8x | 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 23-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average