Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Orange SA backtest
10 trend-following strategies were compared on the full daily history of Orange SA. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -16.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.5%, drawdown -96.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -31.3%, Sharpe 0.30, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 65.5%p (CAGR 0.2%, MDD -16.4%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=2.9 |
2.5% | -31.3% | 0.30 | 0.08 | 1.9x | 26 | 15% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=14, mult=2.9 |
1.7% | -34.0% | 0.21 | 0.05 | 1.6x | 44 | 7% |
| ROC 모멘텀 n=18, threshold=0.12 |
1.3% | -41.1% | 0.16 | 0.03 | 1.4x | 120 | 5% |
| Donchian 채널 돌파 entryN=62, exitN=21 |
0.5% | -54.6% | 0.11 | 0.01 | 1.2x | 76 | 26% |
| ADX / DI 방향성 period=21, threshold=34 |
0.2% | -16.4% | 0.07 | 0.01 | 1.1x | 16 | 2% |
| EMA 크로스오버 fast=51, slow=129 |
-0.6% | -70.9% | 0.04 | -0.01 | 0.8x | 51 | 42% |
| SMA 크로스오버 fast=52, slow=264 |
-1.4% | -61.0% | -0.01 | -0.02 | 0.7x | 37 | 41% |
| Supertrend period=10, mult=3 |
-3.4% | -86.3% | -0.05 | -0.04 | 0.4x | 179 | 45% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-8.6% | -95.8% | -0.29 | -0.09 | 0.1x | 429 | 49% |
| MACD fast=14, slow=27, signal=7 |
-12.1% | -98.0% | -0.44 | -0.12 | 0.0x | 567 | 52% |
| Buy and hold | -7.5% | -96.8% | -0.07 | -0.08 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 76-day middle average