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 8.3%, MDD -39.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -67.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -39.9%, Sharpe 0.47, 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 8.3%, 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 |
8.3% | -39.9% | 0.47 | 0.21 | 7.1x | 51 | 54% |
| ROC 모멘텀 n=123, threshold=-0.12 |
7.8% | -62.1% | 0.42 | 0.13 | 6.4x | 105 | 83% |
| SMA 크로스오버 fast=39, slow=75 |
6.4% | -52.7% | 0.39 | 0.12 | 4.6x | 85 | 57% |
| Supertrend period=9, mult=4.9 |
6.4% | -41.5% | 0.39 | 0.15 | 4.6x | 81 | 60% |
| EMA 크로스오버 fast=24, slow=137 |
6.4% | -53.1% | 0.38 | 0.12 | 4.6x | 49 | 61% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=2.2 |
5.2% | -35.5% | 0.37 | 0.15 | 3.5x | 107 | 37% |
| 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 |
2.6% | -60.8% | 0.23 | 0.04 | 1.9x | 187 | 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 | 287 | 51% |
| Buy and hold | 8.1% | -67.2% | 0.40 | 0.12 | 6.8x | 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