Trend-Following Backtester · Guide · backtest 한국어
equity · KR
아시아나항공 backtest
10 trend-following strategies were compared on the full daily history of 아시아나항공. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.5%, MDD -39.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.1%, drawdown -82.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -56.7%, Sharpe 0.36, 9% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 2.5%, MDD -39.6%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=16, mult=3.8 |
5.1% | -56.7% | 0.36 | 0.09 | 3.7x | 40 | 9% |
| 볼린저 밴드 돌파 n=33, k=3.2 |
3.6% | -59.0% | 0.27 | 0.06 | 2.5x | 60 | 12% |
| ADX / DI 방향성 period=26, threshold=28 |
2.5% | -39.6% | 0.24 | 0.06 | 1.9x | 34 | 10% |
| Supertrend period=19, mult=3.1 |
2.2% | -69.1% | 0.22 | 0.03 | 1.8x | 178 | 42% |
| Donchian 채널 돌파 entryN=30, exitN=33 |
1.0% | -78.5% | 0.19 | 0.01 | 1.3x | 98 | 47% |
| ROC 모멘텀 n=117, threshold=0.07 |
0.4% | -68.1% | 0.15 | 0.01 | 1.1x | 192 | 31% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.3% | -79.4% | 0.12 | -0.02 | 0.7x | 398 | 46% |
| MACD fast=8, slow=37, signal=13 |
-1.5% | -85.5% | 0.11 | -0.02 | 0.7x | 452 | 50% |
| SMA 크로스오버 fast=14, slow=146 |
-2.0% | -86.0% | 0.07 | -0.02 | 0.6x | 86 | 40% |
| EMA 크로스오버 fast=37, slow=138 |
-2.6% | -83.0% | 0.05 | -0.03 | 0.5x | 58 | 38% |
| Buy and hold | -1.1% | -82.2% | 0.20 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average