Trend-Following Backtester · Guide · backtest 한국어
equity · US
Omnicom Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Omnicom Group 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 9.1%, drawdown -62.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -55.4%, Sharpe 0.32, 79% 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=18, exitN=61 |
4.9% | -55.4% | 0.32 | 0.09 | 9.4x | 147 | 79% |
| ROC 모멘텀 n=99, threshold=-0.09 |
3.9% | -71.6% | 0.28 | 0.05 | 5.8x | 263 | 82% |
| Supertrend period=21, mult=4.4 |
3.1% | -74.8% | 0.25 | 0.04 | 4.1x | 197 | 60% |
| EMA 크로스오버 fast=58, slow=146 |
3.0% | -61.0% | 0.25 | 0.05 | 3.9x | 77 | 65% |
| SMA 크로스오버 fast=41, slow=214 |
2.6% | -63.4% | 0.23 | 0.04 | 3.4x | 75 | 64% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.1% | -80.5% | 0.15 | 0.01 | 1.6x | 391 | 56% |
| MACD fast=19, slow=50, signal=24 |
-0.1% | -68.1% | 0.10 | -0.00 | 1.0x | 447 | 51% |
| ADX / DI 방향성 period=32, threshold=30 |
0.1% | -28.3% | 0.06 | 0.01 | 1.1x | 28 | 3% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
-0.1% | -69.8% | 0.05 | -0.00 | 0.9x | 121 | 24% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=4 |
-0.9% | -56.2% | -0.03 | -0.02 | 0.6x | 118 | 23% |
| Buy and hold | 9.1% | -62.1% | 0.45 | 0.15 | 56.9x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 61 days