Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Open House Group Co. Ltd backtest
10 trend-following strategies were compared on the full daily history of Open House Group Co. Ltd. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.7%, drawdown -51.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.9%, MDD -42.4%, Sharpe 0.75, 76% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=39, exitN=71 |
20.9% | -42.4% | 0.75 | 0.49 | 11.6x | 22 | 76% |
| SMA 크로스오버 fast=31, slow=89 |
17.0% | -44.5% | 0.69 | 0.38 | 7.6x | 36 | 61% |
| EMA 크로스오버 fast=16, slow=95 |
17.1% | -51.8% | 0.68 | 0.33 | 7.7x | 36 | 64% |
| ROC 모멘텀 n=149, threshold=-0.03 |
12.9% | -67.4% | 0.54 | 0.19 | 4.8x | 94 | 70% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
9.5% | -37.5% | 0.51 | 0.25 | 3.2x | 84 | 36% |
| ADX / DI 방향성 period=37, threshold=24 |
6.1% | -20.0% | 0.51 | 0.31 | 2.2x | 10 | 11% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=12, mult=2.7 |
8.2% | -32.1% | 0.50 | 0.26 | 2.8x | 56 | 28% |
| Supertrend period=18, mult=4.3 |
10.3% | -48.9% | 0.49 | 0.21 | 3.6x | 56 | 58% |
| Parabolic SAR step=0.03, maxStep=0.1 |
6.4% | -56.9% | 0.36 | 0.11 | 2.2x | 263 | 54% |
| MACD fast=33, slow=59, signal=19 |
4.2% | -50.9% | 0.29 | 0.08 | 1.7x | 112 | 49% |
| Buy and hold | 22.7% | -51.7% | 0.72 | 0.44 | 14.1x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 71 days