Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Airlines Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of American Airlines Group, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.8%, MDD -56.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.7%, drawdown -97.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 10.3%, MDD -66.2%, Sharpe 0.43, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 0.8%, MDD -56.1%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.035, maxStep=0.06 |
10.3% | -66.2% | 0.43 | 0.16 | 7.8x | 338 | 51% |
| Supertrend period=11, mult=1.5 |
8.9% | -75.9% | 0.41 | 0.12 | 6.0x | 380 | 51% |
| 볼린저 밴드 돌파 n=21, k=1 |
8.9% | -78.9% | 0.40 | 0.11 | 6.0x | 288 | 41% |
| ROC 모멘텀 n=131, threshold=0.14 |
7.6% | -68.8% | 0.39 | 0.11 | 4.6x | 152 | 35% |
| ADX / DI 방향성 period=10, threshold=17 |
7.8% | -72.0% | 0.38 | 0.11 | 4.9x | 468 | 47% |
| MACD fast=18, slow=47, signal=17 |
7.3% | -89.1% | 0.38 | 0.08 | 4.4x | 220 | 51% |
| Donchian 채널 돌파 entryN=111, exitN=55 |
4.8% | -68.5% | 0.31 | 0.07 | 2.6x | 27 | 37% |
| EMA 크로스오버 fast=57, slow=162 |
4.4% | -82.1% | 0.29 | 0.05 | 2.5x | 25 | 46% |
| SMA 크로스오버 fast=22, slow=110 |
3.6% | -77.6% | 0.29 | 0.05 | 2.1x | 65 | 49% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=22, mult=3.3 |
0.8% | -56.1% | 0.14 | 0.01 | 1.2x | 66 | 14% |
| Buy and hold | -1.7% | -97.2% | 0.29 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots