Trend-Following Backtester · Guide · backtest 한국어
equity · US
Copa Holdings, S.A. backtest
10 trend-following strategies were compared on the full daily history of Copa Holdings, S.A.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.2%, MDD -43.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.3%, drawdown -82.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.3%, MDD -20.9%, Sharpe 0.60, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.2%, MDD -43.1%, exposure 55%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 61.9%p (CAGR 11.2%, MDD -43.1%, exposure 55%).
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=36, k=3.5 |
6.3% | -20.9% | 0.60 | 0.30 | 3.6x | 16 | 9% |
| ROC 모멘텀 n=114, threshold=0.04 |
11.2% | -43.1% | 0.52 | 0.26 | 9.0x | 181 | 55% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=18, mult=4 |
4.8% | -19.1% | 0.52 | 0.25 | 2.6x | 18 | 9% |
| Donchian 채널 돌파 entryN=21, exitN=76 |
8.4% | -75.3% | 0.40 | 0.11 | 5.3x | 41 | 81% |
| SMA 크로스오버 fast=57, slow=85 |
6.4% | -66.0% | 0.35 | 0.10 | 3.6x | 67 | 62% |
| EMA 크로스오버 fast=58, slow=207 |
6.0% | -59.2% | 0.35 | 0.10 | 3.3x | 23 | 61% |
| Supertrend period=14, mult=3.2 |
3.8% | -62.4% | 0.27 | 0.06 | 2.2x | 120 | 57% |
| ADX / DI 방향성 period=23, threshold=22 |
1.3% | -42.7% | 0.16 | 0.03 | 1.3x | 82 | 18% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-3.5% | -80.0% | 0.04 | -0.04 | 0.5x | 714 | 53% |
| MACD fast=17, slow=54, signal=18 |
-5.9% | -86.3% | -0.05 | -0.07 | 0.3x | 250 | 51% |
| Buy and hold | 8.3% | -82.8% | 0.40 | 0.10 | 5.2x | 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 36-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 36-day middle average