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.. 8 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 10.1%, MDD -48.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.6%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.8%, MDD -50.7%, Sharpe 0.53, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.1%, MDD -88.2%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 10.1%, MDD -48.8%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=26 |
9.8% | -50.7% | 0.53 | 0.19 | 13.8x | 22 | 7% |
| Donchian 채널 돌파 entryN=119, exitN=22 |
12.0% | -74.4% | 0.51 | 0.16 | 24.7x | 49 | 24% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
10.1% | -48.8% | 0.49 | 0.21 | 15.1x | 34 | 7% |
| SMA 크로스오버 fast=66, slow=98 |
12.1% | -88.2% | 0.48 | 0.14 | 25.3x | 73 | 47% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=3 |
7.3% | -73.5% | 0.38 | 0.10 | 7.3x | 83 | 25% |
| Supertrend period=10, mult=4.8 |
6.2% | -85.1% | 0.37 | 0.07 | 5.5x | 85 | 54% |
| ROC 모멘텀 n=80, threshold=0.12 |
5.9% | -83.2% | 0.35 | 0.07 | 5.0x | 223 | 35% |
| EMA 크로스오버 fast=48, slow=153 |
4.9% | -91.4% | 0.33 | 0.05 | 3.9x | 51 | 43% |
| MACD fast=16, slow=63, signal=17 |
2.3% | -88.5% | 0.30 | 0.03 | 1.9x | 316 | 53% |
| Parabolic SAR step=0.04, maxStep=0.38 |
-4.3% | -91.6% | 0.16 | -0.05 | 0.3x | 877 | 49% |
| Buy and hold | 2.6% | -98.4% | 0.39 | 0.03 | 2.1x | 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)