Trend-Following Backtester · Guide · backtest 한국어
equity · US
OneMain Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of OneMain Holdings, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.2%, MDD -54.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -73.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -54.0%, Sharpe 0.52, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 13.2%, MDD -54.0%, exposure 79%).
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=11, exitN=42 |
13.2% | -54.0% | 0.52 | 0.24 | 4.9x | 55 | 79% |
| Parabolic SAR step=0.015, maxStep=0.38 |
7.8% | -54.7% | 0.39 | 0.14 | 2.6x | 219 | 52% |
| Supertrend period=8, mult=1.7 |
7.6% | -69.4% | 0.39 | 0.11 | 2.6x | 199 | 55% |
| MACD fast=7, slow=24, signal=7 |
7.6% | -54.7% | 0.38 | 0.14 | 2.5x | 329 | 52% |
| SMA 크로스오버 fast=7, slow=31 |
7.0% | -64.5% | 0.37 | 0.11 | 2.4x | 135 | 55% |
| EMA 크로스오버 fast=14, slow=40 |
5.9% | -45.6% | 0.34 | 0.13 | 2.1x | 67 | 56% |
| ROC 모멘텀 n=150, threshold=0 |
4.8% | -53.4% | 0.31 | 0.09 | 1.8x | 86 | 58% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
3.0% | -23.3% | 0.30 | 0.13 | 1.5x | 20 | 5% |
| ADX / DI 방향성 period=26, threshold=8 |
3.2% | -49.5% | 0.25 | 0.06 | 1.5x | 179 | 52% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=22, mult=1.9 |
2.0% | -23.4% | 0.22 | 0.08 | 1.3x | 30 | 5% |
| Buy and hold | 9.6% | -73.4% | 0.43 | 0.13 | 3.2x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 42 days