Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Airlines Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of United Airlines Holdings, Inc.. 5 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 8.6%, MDD -40.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.4%, drawdown -93.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.6%, MDD -40.9%, Sharpe 0.50, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.5%, MDD -80.9%, exposure 88%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 8.6%, MDD -40.9%, exposure 15%).
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=19, k=2.7 |
8.6% | -40.9% | 0.50 | 0.21 | 5.5x | 74 | 15% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=2.9 |
9.1% | -47.4% | 0.48 | 0.19 | 6.0x | 66 | 22% |
| Donchian 채널 돌파 entryN=8, exitN=71 |
11.5% | -80.9% | 0.46 | 0.14 | 9.2x | 67 | 88% |
| SMA 크로스오버 fast=40, slow=75 |
9.6% | -64.2% | 0.43 | 0.15 | 6.6x | 97 | 56% |
| ADX / DI 방향성 period=27, threshold=35 |
1.8% | -10.7% | 0.39 | 0.17 | 1.4x | 4 | 2% |
| EMA 크로스오버 fast=40, slow=112 |
7.3% | -55.5% | 0.38 | 0.13 | 4.3x | 41 | 57% |
| MACD fast=17, slow=51, signal=14 |
4.4% | -90.8% | 0.32 | 0.05 | 2.4x | 236 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
3.9% | -79.8% | 0.30 | 0.05 | 2.2x | 368 | 53% |
| ROC 모멘텀 n=69, threshold=-0.08 |
3.7% | -75.8% | 0.30 | 0.05 | 2.1x | 209 | 70% |
| Supertrend period=17, mult=3.3 |
3.6% | -77.6% | 0.28 | 0.05 | 2.0x | 136 | 50% |
| Buy and hold | 6.4% | -93.9% | 0.41 | 0.07 | 3.6x | 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 19-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 19-day middle average