Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Obrascon Huarte Lain SA backtest
10 trend-following strategies were compared on the full daily history of Obrascon Huarte Lain SA. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -23.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -76.7%, Sharpe 0.35, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 1.8%, MDD -23.7%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=17 |
5.3% | -76.7% | 0.35 | 0.07 | 3.9x | 78 | 29% |
| 볼린저 밴드 돌파 n=65, k=2.3 |
5.0% | -75.2% | 0.33 | 0.07 | 3.7x | 72 | 30% |
| Supertrend period=20, mult=4.5 |
5.1% | -88.6% | 0.31 | 0.06 | 3.8x | 85 | 50% |
| ADX / DI 방향성 period=27, threshold=33 |
1.8% | -23.7% | 0.28 | 0.07 | 1.6x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=16, mult=2.4 |
3.8% | -80.9% | 0.28 | 0.05 | 2.7x | 94 | 33% |
| EMA 크로스오버 fast=21, slow=326 |
3.7% | -61.1% | 0.27 | 0.06 | 2.6x | 27 | 43% |
| MACD fast=12, slow=46, signal=11 |
3.6% | -87.2% | 0.27 | 0.04 | 2.5x | 372 | 52% |
| SMA 크로스오버 fast=9, slow=125 |
3.1% | -84.1% | 0.25 | 0.04 | 2.2x | 80 | 49% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.5% | -90.2% | 0.20 | 0.02 | 1.5x | 330 | 50% |
| ROC 모멘텀 n=73, threshold=-0.04 |
0.4% | -88.6% | 0.17 | 0.00 | 1.1x | 266 | 58% |
| Buy and hold | -6.9% | -98.6% | 0.08 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 17 days