Trend-Following Backtester · Guide · backtest 한국어
equity · US
Organon & Co. backtest
10 trend-following strategies were compared on the full daily history of Organon & Co.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.6%, MDD -7.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.4%, drawdown -85.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.5%, MDD -16.0%, Sharpe 0.75, 12% exposure.
CAGR reference leader: MACD — CAGR 16.7%, MDD -56.3%, exposure 50%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 31.9%p higher than buy and hold, while drawdown improves by 69.5%p (CAGR 8.6%, MDD -7.7%, exposure 2%).
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=17, k=2.7 |
16.5% | -16.0% | 0.75 | 1.03 | 2.2x | 16 | 12% |
| ADX / DI 방향성 period=25, threshold=24 |
16.3% | -14.1% | 0.74 | 1.16 | 2.2x | 9 | 16% |
| ROC 모멘텀 n=3, threshold=0.12 |
8.6% | -7.7% | 0.62 | 1.12 | 1.5x | 22 | 2% |
| MACD fast=13, slow=34, signal=10 |
16.7% | -56.3% | 0.61 | 0.30 | 2.3x | 58 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=19, mult=4 |
8.1% | -11.9% | 0.55 | 0.68 | 1.5x | 2 | 5% |
| Donchian 채널 돌파 entryN=22, exitN=13 |
12.4% | -37.4% | 0.54 | 0.33 | 1.9x | 29 | 37% |
| Supertrend period=21, mult=3.6 |
13.1% | -39.3% | 0.54 | 0.33 | 1.9x | 23 | 46% |
| Parabolic SAR step=0.025, maxStep=0.08 |
7.5% | -64.7% | 0.38 | 0.12 | 1.5x | 81 | 52% |
| EMA 크로스오버 fast=15, slow=164 |
4.0% | -39.4% | 0.28 | 0.10 | 1.2x | 9 | 27% |
| SMA 크로스오버 fast=14, slow=169 |
0.3% | -43.6% | 0.12 | 0.01 | 1.0x | 11 | 28% |
| Buy and hold | -15.4% | -85.5% | -0.11 | -0.18 | 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 17-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 17-day middle average