Trend-Following Backtester · Guide · backtest 한국어
equity · US
Onterris, Inc. backtest
10 trend-following strategies were compared on the full daily history of Onterris, Inc.. 6 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 13.1%, MDD -25.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -4.5%, drawdown -86.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.1%, MDD -25.3%, Sharpe 0.57, 22% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 17.6%p higher than buy and hold, while drawdown improves by 60.9%p (CAGR 13.1%, MDD -25.3%, exposure 22%).
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=93, exitN=17 |
13.1% | -25.3% | 0.57 | 0.52 | 2.1x | 10 | 22% |
| ADX / DI 방향성 period=27, threshold=21 |
11.7% | -33.4% | 0.54 | 0.35 | 2.0x | 20 | 22% |
| SMA 크로스오버 fast=27, slow=48 |
0.6% | -63.0% | 0.25 | 0.01 | 1.0x | 30 | 49% |
| Supertrend period=18, mult=4.8 |
0.1% | -69.3% | 0.25 | 0.00 | 1.0x | 20 | 59% |
| EMA 크로스오버 fast=31, slow=45 |
-2.1% | -62.6% | 0.17 | -0.03 | 0.9x | 24 | 48% |
| ROC 모멘텀 n=58, threshold=0.08 |
-3.5% | -74.6% | 0.11 | -0.05 | 0.8x | 84 | 39% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
-4.6% | -56.8% | 0.06 | -0.08 | 0.8x | 24 | 33% |
| MACD fast=22, slow=24, signal=17 |
-8.5% | -69.5% | 0.03 | -0.12 | 0.6x | 72 | 47% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-9.1% | -76.2% | 0.02 | -0.12 | 0.6x | 82 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=13, mult=1.9 |
-9.8% | -64.5% | -0.12 | -0.15 | 0.5x | 40 | 31% |
| Buy and hold | -4.5% | -86.3% | 0.26 | -0.05 | 0.8x | 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 93 days
- Sell — Sell when price breaks below the lowest low of the last 17 days