Trend-Following Backtester · Guide · backtest 한국어
equity · US
Orion S.A. backtest
10 trend-following strategies were compared on the full daily history of Orion S.A.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -6.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.8%, drawdown -87.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.2%, MDD -6.2%, Sharpe 0.43, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.4%, MDD -32.9%, exposure 26%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 81.7%p (CAGR 2.2%, MDD -6.2%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.8 |
2.2% | -6.2% | 0.43 | 0.36 | 1.3x | 14 | 3% |
| Donchian 채널 돌파 entryN=111, exitN=26 |
2.4% | -32.9% | 0.22 | 0.07 | 1.3x | 20 | 26% |
| SMA 크로스오버 fast=48, slow=141 |
1.2% | -58.8% | 0.18 | 0.02 | 1.2x | 23 | 49% |
| Supertrend period=8, mult=4.2 |
-0.2% | -53.3% | 0.14 | -0.00 | 1.0x | 49 | 50% |
| EMA 크로스오버 fast=13, slow=28 |
-0.8% | -67.0% | 0.13 | -0.01 | 0.9x | 79 | 54% |
| ROC 모멘텀 n=92, threshold=0.11 |
0.2% | -49.6% | 0.12 | 0.00 | 1.0x | 121 | 34% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-1.1% | -64.3% | 0.11 | -0.02 | 0.9x | 300 | 52% |
| ADX / DI 방향성 period=23, threshold=17 |
-0.3% | -56.3% | 0.10 | -0.01 | 1.0x | 94 | 31% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=14, mult=2.5 |
-3.5% | -58.4% | -0.07 | -0.06 | 0.6x | 50 | 25% |
| MACD fast=15, slow=45, signal=4 |
-8.1% | -78.5% | -0.10 | -0.10 | 0.4x | 257 | 52% |
| Buy and hold | -7.8% | -87.9% | 0.06 | -0.09 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 11-day middle average