Trend-Following Backtester · Guide · backtest 한국어
equity · US
Onity Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Onity Group Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.4%, MDD -31.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.0%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.3%, MDD -54.6%, Sharpe 0.62, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.7%, MDD -65.2%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 6.4%, MDD -31.6%, exposure 13%).
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=64, exitN=21 |
14.3% | -54.6% | 0.62 | 0.26 | 54.5x | 68 | 36% |
| SMA 크로스오버 fast=53, slow=183 |
15.7% | -65.2% | 0.60 | 0.24 | 78.5x | 34 | 50% |
| EMA 크로스오버 fast=8, slow=169 |
10.4% | -76.9% | 0.47 | 0.14 | 19.2x | 72 | 50% |
| ROC 모멘텀 n=81, threshold=-0.04 |
11.2% | -79.1% | 0.47 | 0.14 | 23.8x | 256 | 59% |
| ADX / DI 방향성 period=31, threshold=19 |
7.6% | -50.4% | 0.45 | 0.15 | 9.0x | 118 | 20% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
6.4% | -31.6% | 0.44 | 0.20 | 6.3x | 26 | 13% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=21, mult=3.5 |
7.1% | -71.5% | 0.40 | 0.10 | 7.7x | 68 | 29% |
| Supertrend period=6, mult=4.7 |
7.9% | -81.1% | 0.39 | 0.10 | 9.7x | 95 | 52% |
| MACD fast=10, slow=26, signal=11 |
-1.5% | -91.2% | 0.17 | -0.02 | 0.6x | 530 | 49% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-1.1% | -92.3% | 0.16 | -0.01 | 0.7x | 622 | 51% |
| Buy and hold | -3.0% | -99.5% | 0.26 | -0.03 | 0.4x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 21 days