Trend-Following Backtester · Guide · backtest 한국어
equity · US
Southwest Airlines Company backtest
10 trend-following strategies were compared on the full daily history of Southwest Airlines Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -78.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -69.9%, Sharpe 0.49, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=24, slow=77 |
9.9% | -69.9% | 0.49 | 0.14 | 80.9x | 167 | 57% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=1.4 |
7.5% | -59.7% | 0.42 | 0.13 | 28.6x | 314 | 46% |
| Donchian 채널 돌파 entryN=83, exitN=50 |
7.4% | -70.4% | 0.42 | 0.11 | 27.8x | 95 | 45% |
| EMA 크로스오버 fast=59, slow=101 |
7.9% | -71.9% | 0.42 | 0.11 | 35.1x | 91 | 57% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
5.3% | -44.1% | 0.39 | 0.12 | 11.1x | 94 | 22% |
| ADX / DI 방향성 period=50, threshold=27 |
1.8% | -13.8% | 0.36 | 0.13 | 2.3x | 6 | 2% |
| ROC 모멘텀 n=72, threshold=0.01 |
5.8% | -77.3% | 0.35 | 0.08 | 14.1x | 521 | 56% |
| Supertrend period=10, mult=4.8 |
5.7% | -72.3% | 0.34 | 0.08 | 13.5x | 173 | 57% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.8% | -74.4% | 0.31 | 0.06 | 8.9x | 386 | 54% |
| MACD fast=22, slow=47, signal=24 |
2.8% | -67.6% | 0.24 | 0.04 | 3.7x | 436 | 51% |
| Buy and hold | 12.3% | -78.5% | 0.50 | 0.16 | 219.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 24-day average price crosses above the 77-day average
- Sell — Sell (to cash) when the 24-day average falls below the 77-day average