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 11.1%, MDD -32.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.1%, drawdown -83.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -32.3%, Sharpe 0.70, 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 11.1%, 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 |
11.1% | -32.3% | 0.70 | 0.34 | 5.7x | 39 | 24% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=2.7 |
10.6% | -38.3% | 0.67 | 0.28 | 5.3x | 45 | 25% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
9.9% | -32.9% | 0.64 | 0.30 | 4.7x | 33 | 23% |
| ADX / DI 방향성 period=20, threshold=25 |
7.9% | -33.1% | 0.57 | 0.24 | 3.5x | 67 | 20% |
| EMA 크로스오버 fast=25, slow=75 |
8.0% | -44.2% | 0.48 | 0.18 | 3.5x | 35 | 40% |
| SMA 크로스오버 fast=21, slow=76 |
7.8% | -46.0% | 0.47 | 0.17 | 3.5x | 49 | 39% |
| Supertrend period=23, mult=3 |
7.4% | -47.2% | 0.46 | 0.16 | 3.2x | 121 | 46% |
| Parabolic SAR step=0.025, maxStep=0.22 |
6.6% | -58.8% | 0.41 | 0.11 | 2.9x | 326 | 49% |
| ROC 모멘텀 n=62, threshold=0.06 |
5.4% | -49.4% | 0.37 | 0.11 | 2.4x | 115 | 30% |
| MACD fast=14, slow=51, signal=7 |
3.9% | -65.0% | 0.29 | 0.06 | 1.9x | 255 | 51% |
| Buy and hold | -0.1% | -83.5% | 0.15 | -0.00 | 1.0x | 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