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 16.5%, MDD -33.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.8%, drawdown -94.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -33.2%, Sharpe 0.74, 65% 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 16.5%, MDD -33.2%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=90, exitN=106 |
16.5% | -33.2% | 0.74 | 0.50 | 20.7x | 13 | 65% |
| SMA 크로스오버 fast=30, slow=183 |
15.5% | -42.5% | 0.68 | 0.36 | 17.2x | 25 | 67% |
| EMA 크로스오버 fast=39, slow=186 |
14.9% | -36.4% | 0.68 | 0.41 | 15.5x | 19 | 66% |
| ROC 모멘텀 n=98, threshold=-0.01 |
14.9% | -40.9% | 0.66 | 0.36 | 15.5x | 129 | 65% |
| Supertrend period=24, mult=4.1 |
8.4% | -73.0% | 0.41 | 0.12 | 5.0x | 79 | 65% |
| ADX / DI 방향성 period=11, threshold=25 |
6.4% | -38.0% | 0.36 | 0.17 | 3.4x | 202 | 25% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=2.5 |
5.5% | -57.5% | 0.36 | 0.09 | 2.9x | 82 | 42% |
| MACD fast=17, slow=21, signal=19 |
5.9% | -83.8% | 0.33 | 0.07 | 3.1x | 282 | 50% |
| 볼린저 밴드 돌파 n=55, k=2.6 |
3.7% | -55.2% | 0.29 | 0.07 | 2.1x | 52 | 30% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.2% | -66.3% | 0.19 | 0.02 | 1.3x | 284 | 55% |
| Buy and hold | 9.8% | -94.4% | 0.43 | 0.10 | 6.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 90 days
- Sell — Sell when price breaks below the lowest low of the last 106 days