Trend-Following Backtester · Guide · backtest 한국어

equity · US

BOK Financial Corporation backtest

10 trend-following strategies were compared on the full daily history of BOK Financial Corporation. 1 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 8.9%, MDD -56.0%).

Data 1991-09-05 ~ 2026-07-31daily bars 8,788 (34.9 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 7.6%, drawdown -85.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -56.0%, Sharpe 0.42, 85% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 8.9%, MDD -56.0%, exposure 85%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=22, exitN=94
8.9%-56.0%0.420.1619.7x6585%
SMA 크로스오버
fast=39, slow=138
6.4%-62.4%0.360.108.6x8165%
EMA 크로스오버
fast=45, slow=207
4.1%-64.4%0.280.064.0x5569%
Supertrend
period=14, mult=5
1.0%-85.7%0.240.011.4x9163%
볼린저 밴드 돌파
n=81, k=2.5
2.6%-46.2%0.230.062.5x7227%
ADX / DI 방향성
period=48, threshold=17
2.3%-48.4%0.210.052.2x4213%
ROC 모멘텀
n=148, threshold=-0.1
0.4%-73.7%0.180.011.2x22582%
MACD
fast=24, slow=90, signal=31
-1.9%-91.0%0.06-0.020.5x28352%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=18, mult=2.2
-3.2%-85.5%-0.05-0.040.3x18537%
Parabolic SAR
step=0.005, maxStep=0.34
-7.7%-95.2%-0.07-0.080.1x29955%
Buy and hold7.6%-85.7%0.410.0912.7x1100%
1x 10x 1992 1997 2002 2007 2012 2017 2022 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -86% 1992 1997 2002 2007 2012 2017 2022 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -56.0% (2007-01-03 → 2009-03-30), recovered after 4,117 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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