Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ormat Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ormat Technologies, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -74.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.9%, MDD -43.2%, Sharpe 0.39, 21% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.3%, MDD -60.5%, exposure 78%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=4 |
4.9% | -43.2% | 0.39 | 0.11 | 2.8x | 42 | 21% |
| Donchian 채널 돌파 entryN=33, exitN=120 |
7.3% | -60.5% | 0.39 | 0.12 | 4.6x | 30 | 78% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
3.2% | -19.3% | 0.37 | 0.17 | 2.0x | 16 | 10% |
| EMA 크로스오버 fast=59, slow=217 |
5.0% | -62.5% | 0.32 | 0.08 | 2.9x | 23 | 62% |
| ADX / DI 방향성 period=31, threshold=27 |
2.1% | -20.8% | 0.30 | 0.10 | 1.6x | 16 | 4% |
| SMA 크로스오버 fast=57, slow=126 |
4.5% | -53.0% | 0.30 | 0.08 | 2.6x | 49 | 58% |
| MACD fast=15, slow=56, signal=16 |
4.1% | -47.9% | 0.29 | 0.09 | 2.4x | 250 | 52% |
| Supertrend period=13, mult=4.5 |
4.0% | -52.8% | 0.29 | 0.08 | 2.3x | 78 | 55% |
| ROC 모멘텀 n=126, threshold=-0.01 |
2.6% | -64.5% | 0.23 | 0.04 | 1.8x | 218 | 61% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.7% | -90.7% | -0.04 | -0.04 | 0.4x | 198 | 52% |
| Buy and hold | 8.8% | -74.7% | 0.41 | 0.12 | 6.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 47-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average