Trend-Following Backtester · Guide · backtest 한국어
equity · US
Frontier Group Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Frontier Group Holdings, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.8%, MDD -45.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.9%, drawdown -87.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 21.5%, MDD -56.6%, Sharpe 0.64, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 41.4%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 15.8%, MDD -45.8%, exposure 43%).
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=0.02, maxStep=0.12 |
21.5% | -56.6% | 0.64 | 0.38 | 2.9x | 98 | 47% |
| MACD fast=11, slow=41, signal=16 |
20.8% | -47.2% | 0.63 | 0.44 | 2.8x | 64 | 50% |
| Donchian 채널 돌파 entryN=8, exitN=33 |
18.5% | -58.3% | 0.58 | 0.32 | 2.5x | 27 | 64% |
| Supertrend period=9, mult=2.9 |
15.8% | -45.8% | 0.55 | 0.35 | 2.2x | 38 | 43% |
| 볼린저 밴드 돌파 n=16, k=1 |
14.3% | -52.9% | 0.52 | 0.27 | 2.1x | 86 | 35% |
| ROC 모멘텀 n=43, threshold=0.08 |
5.4% | -65.3% | 0.34 | 0.08 | 1.3x | 50 | 35% |
| ADX / DI 방향성 period=34, threshold=5 |
4.0% | -51.3% | 0.33 | 0.08 | 1.2x | 60 | 46% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=29, mult=0.7 |
4.2% | -52.1% | 0.31 | 0.08 | 1.3x | 44 | 37% |
| SMA 크로스오버 fast=7, slow=64 |
3.4% | -57.9% | 0.30 | 0.06 | 1.2x | 24 | 42% |
| EMA 크로스오버 fast=3, slow=52 |
2.9% | -55.2% | 0.29 | 0.05 | 1.2x | 44 | 40% |
| Buy and hold | -19.9% | -87.0% | 0.02 | -0.23 | 0.3x | 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