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.. 7 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 13.3%, MDD -25.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -86.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -25.3%, Sharpe 0.57, 22% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 60.9%p (CAGR 13.3%, 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 |
13.3% | -25.3% | 0.57 | 0.53 | 2.1x | 10 | 22% |
| ADX / DI 방향성 period=27, threshold=21 |
11.8% | -33.4% | 0.55 | 0.35 | 2.0x | 20 | 22% |
| Supertrend period=18, mult=4.8 |
5.8% | -61.9% | 0.35 | 0.09 | 1.4x | 19 | 59% |
| SMA 크로스오버 fast=27, slow=48 |
4.7% | -54.4% | 0.32 | 0.09 | 1.3x | 29 | 49% |
| ROC 모멘텀 n=58, threshold=0.08 |
3.8% | -69.6% | 0.29 | 0.05 | 1.3x | 78 | 39% |
| EMA 크로스오버 fast=31, slow=45 |
2.0% | -57.7% | 0.25 | 0.03 | 1.1x | 23 | 48% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
2.3% | -46.2% | 0.24 | 0.05 | 1.1x | 22 | 34% |
| MACD fast=22, slow=24, signal=17 |
-2.6% | -64.5% | 0.15 | -0.04 | 0.9x | 70 | 47% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-3.2% | -72.1% | 0.14 | -0.04 | 0.8x | 80 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=13, mult=1.9 |
-3.4% | -45.8% | 0.05 | -0.07 | 0.8x | 38 | 32% |
| Buy and hold | -0.9% | -86.3% | 0.30 | -0.01 | 0.9x | 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 93 days
- Sell — Sell when price breaks below the lowest low of the last 17 days