Trend-Following Backtester · Guide · backtest 한국어
equity · US
Orion Group Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Orion Group Holdings, Inc.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -50.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.6%, drawdown -93.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.4%, MDD -58.0%, Sharpe 0.43, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 3.9%, MDD -50.9%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=5, slow=68 |
9.4% | -58.0% | 0.43 | 0.16 | 5.3x | 114 | 48% |
| Supertrend period=20, mult=5 |
8.9% | -54.7% | 0.42 | 0.16 | 4.9x | 48 | 51% |
| ROC 모멘텀 n=129, threshold=0.14 |
7.7% | -61.9% | 0.39 | 0.12 | 4.0x | 138 | 34% |
| Donchian 채널 돌파 entryN=132, exitN=52 |
7.1% | -52.0% | 0.38 | 0.14 | 3.6x | 20 | 27% |
| SMA 크로스오버 fast=26, slow=44 |
6.3% | -84.6% | 0.35 | 0.07 | 3.1x | 100 | 48% |
| ADX / DI 방향성 period=18, threshold=22 |
5.7% | -51.1% | 0.34 | 0.11 | 2.8x | 114 | 21% |
| MACD fast=19, slow=45, signal=21 |
3.2% | -85.5% | 0.29 | 0.04 | 1.8x | 188 | 50% |
| 볼린저 밴드 돌파 n=39, k=2.7 |
3.9% | -50.9% | 0.28 | 0.08 | 2.0x | 60 | 19% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=1.2 |
2.0% | -68.3% | 0.23 | 0.03 | 1.5x | 122 | 39% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.9% | -93.2% | 0.11 | -0.04 | 0.5x | 270 | 49% |
| Buy and hold | -2.6% | -93.3% | 0.25 | -0.03 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 5-day EMA crosses above the 68-day EMA
- Sell — Sell when the 5-day EMA falls below the 68-day EMA