Trend-Following Backtester · Guide · backtest 한국어
equity · US
ONE Gas, Inc. backtest
10 trend-following strategies were compared on the full daily history of ONE Gas, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -40.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -48.2%, Sharpe 0.37, 91% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=112 |
5.7% | -48.2% | 0.37 | 0.12 | 2.0x | 17 | 91% |
| SMA 크로스오버 fast=37, slow=209 |
3.5% | -40.2% | 0.29 | 0.09 | 1.5x | 24 | 63% |
| EMA 크로스오버 fast=45, slow=174 |
3.3% | -51.4% | 0.28 | 0.06 | 1.5x | 16 | 66% |
| Supertrend period=8, mult=4.8 |
2.5% | -33.8% | 0.24 | 0.07 | 1.4x | 32 | 56% |
| ROC 모멘텀 n=93, threshold=-0.05 |
1.4% | -48.9% | 0.17 | 0.03 | 1.2x | 94 | 77% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
0.3% | -5.1% | 0.13 | 0.05 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=35, threshold=18 |
0.2% | -15.5% | 0.06 | 0.01 | 1.0x | 20 | 7% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=23, mult=2.9 |
-2.3% | -34.2% | -0.22 | -0.07 | 0.7x | 32 | 13% |
| MACD fast=14, slow=54, signal=21 |
-5.2% | -60.2% | -0.25 | -0.09 | 0.5x | 147 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-8.5% | -68.4% | -0.44 | -0.12 | 0.3x | 193 | 55% |
| Buy and hold | 7.0% | -40.4% | 0.40 | 0.17 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 112 days