Trend-Following Backtester · Guide · backtest 한국어
equity · US
Boston Omaha Corporation backtest
10 trend-following strategies were compared on the full daily history of Boston Omaha Corporation. 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 8.5%, MDD -29.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.7%, drawdown -76.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.4%, MDD -41.5%, Sharpe 0.62, 5% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 8.5%, MDD -29.5%, 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=22, threshold=42 |
9.4% | -41.5% | 0.62 | 0.23 | 2.3x | 4 | 5% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
8.5% | -29.5% | 0.58 | 0.29 | 2.1x | 6 | 7% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=33, mult=2.6 |
8.6% | -47.7% | 0.53 | 0.18 | 2.1x | 21 | 12% |
| Donchian 채널 돌파 entryN=114, exitN=12 |
6.5% | -32.6% | 0.46 | 0.20 | 1.8x | 11 | 8% |
| Supertrend period=26, mult=4.5 |
4.4% | -61.7% | 0.29 | 0.07 | 1.5x | 27 | 50% |
| SMA 크로스오버 fast=39, slow=78 |
-0.3% | -69.6% | 0.13 | -0.00 | 1.0x | 33 | 42% |
| EMA 크로스오버 fast=52, slow=277 |
-0.1% | -46.7% | 0.11 | -0.00 | 1.0x | 9 | 26% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.6% | -66.3% | 0.10 | -0.04 | 0.8x | 148 | 47% |
| ROC 모멘텀 n=162, threshold=0.06 |
-1.2% | -53.7% | 0.08 | -0.02 | 0.9x | 56 | 27% |
| MACD fast=24, slow=35, signal=28 |
-5.5% | -77.5% | -0.02 | -0.07 | 0.6x | 88 | 51% |
| Buy and hold | -4.7% | -76.6% | 0.12 | -0.06 | 0.6x | 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, 22-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)