Trend-Following Backtester · Guide · backtest 한국어
equity · US
OneSpan Inc. backtest
10 trend-following strategies were compared on the full daily history of OneSpan Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.4%, MDD -48.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.1%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.7%, MDD -50.7%, Sharpe 0.53, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.4%, MDD -74.8%, exposure 26%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 10.4%, MDD -48.8%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=26 |
9.7% | -50.7% | 0.53 | 0.19 | 13.8x | 22 | 7% |
| Donchian 채널 돌파 entryN=122, exitN=26 |
12.4% | -74.8% | 0.52 | 0.17 | 27.7x | 47 | 26% |
| 볼린저 밴드 돌파 n=26, k=3.2 |
10.4% | -48.8% | 0.49 | 0.21 | 16.5x | 46 | 9% |
| SMA 크로스오버 fast=28, slow=105 |
9.9% | -80.2% | 0.44 | 0.12 | 14.7x | 73 | 48% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=2.8 |
9.8% | -70.1% | 0.44 | 0.14 | 14.1x | 89 | 28% |
| Supertrend period=11, mult=4.7 |
7.0% | -85.2% | 0.38 | 0.08 | 6.8x | 87 | 53% |
| ROC 모멘텀 n=80, threshold=0.03 |
5.7% | -84.3% | 0.35 | 0.07 | 4.8x | 283 | 44% |
| EMA 크로스오버 fast=31, slow=166 |
5.0% | -88.3% | 0.33 | 0.06 | 4.0x | 57 | 44% |
| MACD fast=16, slow=69, signal=19 |
3.7% | -87.8% | 0.32 | 0.04 | 2.8x | 295 | 53% |
| Parabolic SAR step=0.04, maxStep=0.34 |
-4.0% | -91.6% | 0.16 | -0.04 | 0.3x | 881 | 49% |
| Buy and hold | 3.1% | -98.4% | 0.40 | 0.03 | 2.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)