Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Organo Corp. backtest
10 trend-following strategies were compared on the full daily history of Organo Corp.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -62.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.0%, drawdown -87.4%).
Sharpe leader (same as main): Supertrend — CAGR 13.5%, MDD -64.1%, Sharpe 0.62, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.9%, MDD -62.6%, exposure 65%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 23.3%p (CAGR 13.9%, MDD -62.6%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.9 |
13.5% | -64.1% | 0.62 | 0.21 | 25.3x | 118 | 55% |
| Donchian 채널 돌파 entryN=19, exitN=31 |
13.9% | -62.6% | 0.60 | 0.22 | 27.8x | 108 | 65% |
| 볼린저 밴드 돌파 n=55, k=2 |
10.7% | -40.8% | 0.58 | 0.26 | 13.5x | 90 | 37% |
| MACD fast=54, slow=72, signal=26 |
11.6% | -70.3% | 0.56 | 0.17 | 16.6x | 138 | 55% |
| SMA 크로스오버 fast=8, slow=38 |
11.0% | -64.6% | 0.54 | 0.17 | 14.6x | 196 | 56% |
| EMA 크로스오버 fast=34, slow=60 |
10.4% | -79.5% | 0.50 | 0.13 | 12.7x | 78 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=1.9 |
9.0% | -62.1% | 0.49 | 0.14 | 9.0x | 142 | 44% |
| ADX / DI 방향성 period=24, threshold=11 |
8.9% | -76.4% | 0.47 | 0.12 | 8.9x | 316 | 50% |
| ROC 모멘텀 n=63, threshold=0.03 |
6.3% | -81.8% | 0.37 | 0.08 | 4.8x | 304 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.1% | -78.9% | 0.32 | 0.06 | 3.5x | 418 | 53% |
| Buy and hold | 14.0% | -87.4% | 0.54 | 0.16 | 28.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)