Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Onex Corporation backtest
10 trend-following strategies were compared on the full daily history of Onex Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -44.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -68.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -44.1%, Sharpe 0.53, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 24.2%p (CAGR 9.5%, MDD -44.1%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=206 |
9.5% | -44.1% | 0.53 | 0.21 | 17.3x | 44 | 65% |
| Donchian 채널 돌파 entryN=42, exitN=70 |
9.4% | -66.3% | 0.52 | 0.14 | 17.1x | 61 | 70% |
| EMA 크로스오버 fast=57, slow=202 |
9.0% | -48.5% | 0.51 | 0.19 | 15.3x | 34 | 67% |
| 볼린저 밴드 돌파 n=50, k=1.8 |
6.3% | -50.0% | 0.44 | 0.13 | 6.8x | 150 | 41% |
| ROC 모멘텀 n=83, threshold=-0.08 |
6.3% | -63.6% | 0.38 | 0.10 | 6.8x | 233 | 81% |
| ADX / DI 방향성 period=20, threshold=39 |
1.6% | -10.7% | 0.36 | 0.15 | 1.7x | 20 | 4% |
| Supertrend period=29, mult=4.2 |
5.2% | -64.3% | 0.36 | 0.08 | 4.9x | 122 | 57% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=1.8 |
4.7% | -63.6% | 0.35 | 0.07 | 4.2x | 180 | 44% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.8% | -72.8% | 0.29 | 0.05 | 3.2x | 262 | 54% |
| MACD fast=17, slow=43, signal=13 |
-0.1% | -78.7% | 0.09 | -0.00 | 1.0x | 419 | 50% |
| Buy and hold | 11.7% | -68.3% | 0.53 | 0.17 | 32.9x | 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 30-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 30-day average falls below the 206-day average