Trend-Following Backtester · Guide · backtest 한국어
equity · US
Republic Airways Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Republic Airways Holdings Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.8%, MDD -34.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.6%, drawdown -97.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 22.8%, MDD -34.0%, Sharpe 0.79, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 46.4%p higher than buy and hold, while drawdown improves by 63.4%p (CAGR 22.8%, MDD -34.0%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=1, threshold=0.08 |
22.8% | -34.0% | 0.79 | 0.67 | 5.1x | 159 | 5% |
| ADX / DI 방향성 period=20, threshold=23 |
19.8% | -41.3% | 0.67 | 0.48 | 4.2x | 32 | 15% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
18.0% | -35.4% | 0.65 | 0.51 | 3.7x | 14 | 16% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=17, mult=3.6 |
9.8% | -51.7% | 0.44 | 0.19 | 2.1x | 16 | 16% |
| Donchian 채널 돌파 entryN=78, exitN=30 |
8.2% | -57.5% | 0.39 | 0.14 | 1.9x | 14 | 20% |
| Supertrend period=8, mult=4.4 |
4.1% | -65.9% | 0.35 | 0.06 | 1.4x | 25 | 50% |
| SMA 크로스오버 fast=24, slow=41 |
3.5% | -88.5% | 0.32 | 0.04 | 1.3x | 55 | 42% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-0.2% | -70.5% | 0.27 | -0.00 | 1.0x | 133 | 46% |
| MACD fast=8, slow=59, signal=17 |
-4.4% | -85.8% | 0.19 | -0.05 | 0.7x | 113 | 48% |
| EMA 크로스오버 fast=7, slow=119 |
-8.4% | -83.4% | -0.02 | -0.10 | 0.5x | 38 | 29% |
| Buy and hold | -23.6% | -97.3% | 0.09 | -0.24 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than 8%
- Sell — Sell when the 1-day return drops to 8% or below