Trend-Following Backtester · Guide · backtest 한국어
equity · US
Horizon Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Horizon Bancorp, Inc.. 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 8.0%, MDD -39.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.9%, drawdown -67.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -39.9%, Sharpe 0.46, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 8.0%, MDD -39.9%, exposure 54%).
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=57, exitN=48 |
8.0% | -39.9% | 0.46 | 0.20 | 6.7x | 51 | 54% |
| ROC 모멘텀 n=123, threshold=-0.12 |
7.6% | -62.1% | 0.41 | 0.12 | 6.0x | 105 | 83% |
| SMA 크로스오버 fast=39, slow=75 |
6.2% | -52.7% | 0.38 | 0.12 | 4.4x | 85 | 57% |
| Supertrend period=9, mult=4.9 |
6.1% | -41.5% | 0.38 | 0.15 | 4.3x | 81 | 60% |
| EMA 크로스오버 fast=24, slow=137 |
6.2% | -53.1% | 0.37 | 0.12 | 4.4x | 49 | 61% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=2.2 |
5.0% | -35.5% | 0.36 | 0.14 | 3.3x | 108 | 38% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
4.1% | -34.2% | 0.35 | 0.12 | 2.7x | 64 | 25% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.4% | -60.8% | 0.22 | 0.04 | 1.8x | 188 | 58% |
| ADX / DI 방향성 period=21, threshold=37 |
0.5% | -12.2% | 0.13 | 0.04 | 1.1x | 20 | 4% |
| MACD fast=19, slow=46, signal=17 |
-0.3% | -65.0% | 0.10 | -0.00 | 0.9x | 288 | 51% |
| Buy and hold | 7.9% | -67.2% | 0.40 | 0.12 | 6.5x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 48 days