Trend-Following Backtester · Guide · backtest 한국어

equity · US

AerCap Holdings N.V. backtest

10 trend-following strategies were compared on the full daily history of AerCap Holdings N.V.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.8%, MDD -33.2%).

Data 2006-11-21 ~ 2026-07-31daily bars 4,952 (19.7 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 10.0%, drawdown -94.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -33.2%, Sharpe 0.75, 64% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 61.2%p (CAGR 16.8%, MDD -33.2%, exposure 64%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=90, exitN=106
16.8%-33.2%0.750.5121.4x1364%
SMA 크로스오버
fast=30, slow=183
15.7%-42.5%0.690.3717.8x2566%
EMA 크로스오버
fast=39, slow=186
15.1%-36.4%0.680.4116.0x1966%
ROC 모멘텀
n=98, threshold=-0.01
15.1%-40.9%0.660.3716.0x12965%
Supertrend
period=24, mult=4.1
8.7%-73.0%0.420.125.1x7964%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=21, mult=2.5
5.7%-57.5%0.360.103.0x8142%
ADX / DI 방향성
period=11, threshold=25
6.4%-38.0%0.360.173.4x20226%
MACD
fast=17, slow=21, signal=19
6.1%-83.8%0.340.073.2x27950%
볼린저 밴드 돌파
n=55, k=2.6
3.7%-55.2%0.290.072.1x5230%
Parabolic SAR
step=0.01, maxStep=0.12
1.2%-66.3%0.190.021.3x28355%
Buy and hold10.0%-94.4%0.430.116.5x1100%
0.1 1x 10x 2007 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -47% -71% -94% 2007 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -33.2% (2011-02-07 → 2012-04-11), recovered after 756 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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