Trend-Following Backtester · Guide · backtest 한국어
equity · US
Orchid Island Capital, Inc. backtest
10 trend-following strategies were compared on the full daily history of Orchid Island Capital, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -3.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.6%, drawdown -92.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -3.0%, Sharpe 0.09, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 89.0%p (CAGR 0.1%, MDD -3.0%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=23 |
0.1% | -3.0% | 0.09 | 0.05 | 1.0x | 6 | 0% |
| 볼린저 밴드 돌파 n=34, k=3.4 |
-0.2% | -7.5% | -0.06 | -0.02 | 1.0x | 2 | 1% |
| Supertrend period=18, mult=2.5 |
-5.0% | -67.3% | -0.12 | -0.07 | 0.5x | 108 | 50% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=3.1 |
-0.4% | -7.1% | -0.19 | -0.05 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=5, threshold=0.11 |
-3.2% | -50.0% | -0.24 | -0.06 | 0.6x | 32 | 1% |
| MACD fast=12, slow=23, signal=15 |
-7.5% | -65.9% | -0.28 | -0.11 | 0.3x | 204 | 53% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-9.5% | -73.9% | -0.34 | -0.13 | 0.3x | 158 | 50% |
| EMA 크로스오버 fast=57, slow=138 |
-4.9% | -56.8% | -0.34 | -0.09 | 0.5x | 14 | 27% |
| Donchian 채널 돌파 entryN=36, exitN=78 |
-9.4% | -77.3% | -0.42 | -0.12 | 0.3x | 34 | 55% |
| SMA 크로스오버 fast=43, slow=160 |
-11.6% | -84.7% | -0.44 | -0.14 | 0.2x | 26 | 33% |
| Buy and hold | -16.6% | -92.0% | -0.31 | -0.18 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)