Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sky Harbour Group Corporation backtest
10 trend-following strategies were compared on the full daily history of Sky Harbour Group Corporation. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 26.9%, MDD -43.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -92.9%).
Sharpe leader (same as main): Supertrend — CAGR 45.2%, MDD -48.6%, Sharpe 0.93, 37% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 44.3%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 26.9%, MDD -43.6%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=2.1 |
45.2% | -48.6% | 0.93 | 0.93 | 8.2x | 43 | 37% |
| ADX / DI 방향성 period=8, threshold=34 |
36.0% | -62.1% | 0.83 | 0.58 | 5.7x | 53 | 18% |
| Donchian 채널 돌파 entryN=9, exitN=7 |
35.7% | -53.2% | 0.81 | 0.67 | 5.6x | 57 | 43% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
29.6% | -63.3% | 0.74 | 0.47 | 4.3x | 29 | 32% |
| Parabolic SAR step=0.02, maxStep=0.38 |
31.1% | -66.1% | 0.73 | 0.47 | 4.6x | 117 | 51% |
| ROC 모멘텀 n=13, threshold=0.11 |
26.9% | -43.6% | 0.72 | 0.62 | 3.8x | 62 | 14% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=24, mult=2.7 |
26.4% | -45.5% | 0.71 | 0.58 | 3.7x | 16 | 12% |
| MACD fast=15, slow=41, signal=7 |
26.3% | -75.0% | 0.67 | 0.35 | 3.7x | 101 | 55% |
| EMA 크로스오버 fast=7, slow=24 |
20.5% | -66.1% | 0.60 | 0.31 | 2.9x | 63 | 47% |
| SMA 크로스오버 fast=5, slow=25 |
19.3% | -69.5% | 0.58 | 0.28 | 2.7x | 75 | 51% |
| Buy and hold | 1.0% | -92.9% | 0.38 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)