Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ondas Inc backtest
10 trend-following strategies were compared on the full daily history of Ondas Inc. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.0%, MDD -43.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.8%, drawdown -97.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 70.6%, MDD -69.1%, Sharpe 1.04, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 66.8%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 18.0%, MDD -43.6%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.1 |
70.6% | -69.1% | 1.04 | 1.02 | 21.4x | 94 | 45% |
| Supertrend period=13, mult=2.9 |
48.9% | -82.8% | 0.88 | 0.59 | 9.8x | 34 | 43% |
| MACD fast=14, slow=50, signal=8 |
44.5% | -79.6% | 0.84 | 0.56 | 8.3x | 84 | 48% |
| 볼린저 밴드 돌파 n=13, k=1.1 |
39.1% | -68.6% | 0.80 | 0.57 | 6.7x | 108 | 35% |
| ROC 모멘텀 n=11, threshold=0.11 |
37.2% | -69.5% | 0.78 | 0.53 | 6.1x | 128 | 29% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=18, mult=2.5 |
31.8% | -50.2% | 0.76 | 0.63 | 4.9x | 22 | 18% |
| Donchian 채널 돌파 entryN=118, exitN=63 |
28.2% | -75.8% | 0.70 | 0.37 | 4.2x | 4 | 26% |
| ADX / DI 방향성 period=18, threshold=38 |
18.0% | -43.6% | 0.64 | 0.41 | 2.6x | 8 | 7% |
| SMA 크로스오버 fast=39, slow=162 |
16.1% | -75.8% | 0.56 | 0.21 | 2.4x | 10 | 36% |
| EMA 크로스오버 fast=57, slow=193 |
11.9% | -75.8% | 0.49 | 0.16 | 1.9x | 7 | 29% |
| Buy and hold | 3.8% | -97.8% | 0.57 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots