Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Eva Airways Corporation backtest
10 trend-following strategies were compared on the full daily history of Eva Airways Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -56.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.9%, drawdown -72.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.5%, MDD -56.8%, Sharpe 0.27, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 15.3%p (CAGR 3.5%, MDD -56.8%, exposure 36%).
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=47, k=1.3 |
3.5% | -56.8% | 0.27 | 0.06 | 2.5x | 147 | 36% |
| SMA 크로스오버 fast=46, slow=163 |
2.8% | -71.4% | 0.24 | 0.04 | 2.1x | 49 | 45% |
| Donchian 채널 돌파 entryN=91, exitN=67 |
2.6% | -51.7% | 0.23 | 0.05 | 2.0x | 39 | 38% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.5% | -61.4% | 0.23 | 0.04 | 2.0x | 176 | 52% |
| MACD fast=25, slow=55, signal=16 |
2.1% | -57.2% | 0.21 | 0.04 | 1.7x | 240 | 49% |
| Supertrend period=5, mult=2.7 |
1.3% | -53.0% | 0.18 | 0.03 | 1.4x | 202 | 53% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=3.6 |
1.1% | -64.4% | 0.15 | 0.02 | 1.3x | 65 | 18% |
| ROC 모멘텀 n=33, threshold=0.06 |
0.6% | -62.7% | 0.14 | 0.01 | 1.2x | 337 | 28% |
| EMA 크로스오버 fast=64, slow=179 |
0.1% | -64.5% | 0.14 | 0.00 | 1.0x | 39 | 47% |
| ADX / DI 방향성 period=32, threshold=24 |
0.1% | -47.7% | 0.08 | 0.00 | 1.0x | 36 | 8% |
| Buy and hold | 3.9% | -72.1% | 0.29 | 0.05 | 2.7x | 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 47-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 47-day middle average