Trend-Following Backtester · Guide · backtest 한국어
equity · US
Onto Innovation Inc. backtest
10 trend-following strategies were compared on the full daily history of Onto Innovation Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 36.8%, MDD -42.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 34.2%, drawdown -62.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.7%, MDD -42.6%, Sharpe 0.96, 52% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 36.8%, MDD -42.3%, exposure 63%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 20.2%p (CAGR 36.8%, MDD -42.3%, exposure 63%).
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=120, exitN=56 |
33.7% | -42.6% | 0.96 | 0.79 | 7.1x | 6 | 52% |
| SMA 크로스오버 fast=50, slow=107 |
36.8% | -42.3% | 0.96 | 0.87 | 8.3x | 9 | 63% |
| ROC 모멘텀 n=84, threshold=0.12 |
26.6% | -42.6% | 0.81 | 0.62 | 4.9x | 63 | 50% |
| EMA 크로스오버 fast=49, slow=122 |
25.7% | -45.4% | 0.75 | 0.57 | 4.7x | 11 | 64% |
| Supertrend period=11, mult=4.6 |
20.7% | -44.7% | 0.66 | 0.46 | 3.6x | 24 | 68% |
| ADX / DI 방향성 period=22, threshold=35 |
4.5% | -16.4% | 0.51 | 0.28 | 1.3x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=20, mult=2.5 |
9.1% | -49.7% | 0.42 | 0.18 | 1.8x | 34 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.8% | -66.5% | 0.37 | 0.10 | 1.6x | 94 | 54% |
| MACD fast=9, slow=34, signal=6 |
6.1% | -54.5% | 0.35 | 0.11 | 1.5x | 158 | 49% |
| 볼린저 밴드 돌파 n=22, k=2.6 |
5.6% | -34.0% | 0.35 | 0.16 | 1.4x | 36 | 21% |
| Buy and hold | 34.2% | -62.8% | 0.80 | 0.54 | 7.3x | 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 120 days
- Sell — Sell when price breaks below the lowest low of the last 56 days