Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Airlines Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Japan Airlines Co., Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -12.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.1%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.8%, MDD -39.3%, Sharpe 0.19, 25% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.9%p higher than buy and hold, while drawdown improves by 60.7%p (CAGR 0.7%, MDD -12.2%, exposure 2%).
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=113, exitN=25 |
33.8% | -39.3% | 0.19 | 0.86 | 2303.6x | 38 | 25% |
| ROC 모멘텀 n=118, threshold=-0.08 |
27.6% | -67.3% | 0.19 | 0.41 | 647.8x | 201 | 71% |
| MACD fast=13, slow=29, signal=7 |
16.8% | -87.0% | 0.19 | 0.19 | 62.5x | 497 | 55% |
| SMA 크로스오버 fast=47, slow=223 |
1.7% | -47.3% | 0.19 | 0.04 | 1.6x | 32 | 41% |
| ADX / DI 방향성 period=38, threshold=32 |
0.7% | -12.2% | 0.18 | 0.05 | 1.2x | 4 | 2% |
| EMA 크로스오버 fast=52, slow=233 |
0.5% | -41.6% | 0.11 | 0.01 | 1.1x | 27 | 37% |
| 볼린저 밴드 돌파 n=29, k=3.2 |
-0.5% | -27.7% | -0.01 | -0.02 | 0.9x | 36 | 6% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=3.7 |
-1.7% | -55.1% | -0.09 | -0.03 | 0.6x | 58 | 17% |
| Supertrend period=29, mult=4.5 |
-3.9% | -75.9% | -0.14 | -0.05 | 0.3x | 105 | 43% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.7% | -78.1% | -0.20 | -0.06 | 0.3x | 174 | 43% |
| Buy and hold | -1.1% | -100.0% | 0.19 | -0.01 | 0.8x | 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 113 days
- Sell — Sell when price breaks below the lowest low of the last 25 days