Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Jabal Omar Development Co. backtest
10 trend-following strategies were compared on the full daily history of Jabal Omar Development Co.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.2%, MDD -32.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -83.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -32.3%, Sharpe 0.66, 24% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 10.2%, MDD -32.3%, exposure 24%).
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=52, exitN=18 |
10.2% | -32.3% | 0.66 | 0.32 | 4.9x | 39 | 24% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=2.7 |
9.8% | -38.3% | 0.62 | 0.26 | 4.6x | 45 | 24% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
9.0% | -32.9% | 0.60 | 0.28 | 4.1x | 33 | 22% |
| ADX / DI 방향성 period=20, threshold=25 |
7.8% | -33.1% | 0.56 | 0.23 | 3.4x | 66 | 20% |
| EMA 크로스오버 fast=25, slow=75 |
7.1% | -44.2% | 0.44 | 0.16 | 3.1x | 35 | 40% |
| SMA 크로스오버 fast=21, slow=76 |
7.0% | -46.0% | 0.43 | 0.15 | 3.0x | 49 | 39% |
| Supertrend period=23, mult=3 |
6.5% | -47.2% | 0.42 | 0.14 | 2.8x | 121 | 46% |
| Parabolic SAR step=0.025, maxStep=0.22 |
5.9% | -58.8% | 0.38 | 0.10 | 2.6x | 324 | 48% |
| ROC 모멘텀 n=62, threshold=0.06 |
4.8% | -49.4% | 0.34 | 0.10 | 2.1x | 114 | 30% |
| MACD fast=14, slow=51, signal=7 |
3.1% | -65.0% | 0.25 | 0.05 | 1.7x | 255 | 51% |
| Buy and hold | -0.9% | -83.5% | 0.12 | -0.01 | 0.9x | 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 52 days
- Sell — Sell when price breaks below the lowest low of the last 18 days