Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Grupo Aeromexico, S.A.B. de C.V. backtest
10 trend-following strategies were compared on the full daily history of Grupo Aeromexico, S.A.B. de C.V.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -99.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -23.4%, Sharpe 0.37, 30% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=65, exitN=4 |
4.5% | -23.4% | 0.37 | 0.19 | 1.9x | 29 | 30% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=8, mult=3.2 |
2.3% | -18.2% | 0.28 | 0.13 | 1.4x | 8 | 2% |
| 볼린저 밴드 돌파 n=32, k=1.8 |
2.8% | -43.7% | 0.24 | 0.06 | 1.5x | 62 | 18% |
| EMA 크로스오버 fast=78, slow=269 |
1.2% | -57.6% | 0.16 | 0.02 | 1.2x | 3 | 52% |
| ROC 모멘텀 n=103, threshold=0.08 |
-0.2% | -59.9% | 0.09 | -0.00 | 1.0x | 52 | 17% |
| ADX / DI 방향성 period=12, threshold=31 |
-0.1% | -40.9% | 0.07 | -0.00 | 1.0x | 72 | 10% |
| SMA 크로스오버 fast=13, slow=123 |
-1.1% | -65.8% | 0.05 | -0.02 | 0.8x | 28 | 26% |
| Supertrend period=19, mult=4.5 |
-0.7% | -45.3% | 0.05 | -0.02 | 0.9x | 28 | 26% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-8.9% | -77.4% | -0.24 | -0.12 | 0.2x | 251 | 59% |
| MACD fast=14, slow=46, signal=9 |
-14.9% | -91.6% | -0.53 | -0.16 | 0.1x | 189 | 60% |
| Buy and hold | 11.7% | -99.1% | 0.26 | 0.12 | 5.4x | 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 65 days
- Sell — Sell when price breaks below the lowest low of the last 4 days