Trend-Following Backtester · Guide · backtest 한국어
equity · US
Octave Specialty Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Octave Specialty Group, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.8%, MDD -19.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.4%, drawdown -88.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.1%, MDD -61.7%, Sharpe 0.18, 76% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.4%, MDD -43.2%, exposure 17%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR -0.8%, MDD -19.4%, exposure 6%).
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=11, exitN=44 |
-0.1% | -61.7% | 0.18 | -0.00 | 1.0x | 59 | 76% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=2.1 |
0.4% | -43.2% | 0.10 | 0.01 | 1.1x | 58 | 17% |
| SMA 크로스오버 fast=51, slow=79 |
-1.0% | -64.5% | 0.09 | -0.02 | 0.9x | 41 | 44% |
| Supertrend period=29, mult=5 |
-4.2% | -70.9% | -0.01 | -0.06 | 0.6x | 37 | 50% |
| EMA 크로스오버 fast=38, slow=44 |
-3.5% | -68.6% | -0.01 | -0.05 | 0.6x | 41 | 46% |
| ADX / DI 방향성 period=33, threshold=25 |
-0.8% | -19.4% | -0.05 | -0.04 | 0.9x | 12 | 6% |
| ROC 모멘텀 n=64, threshold=0.04 |
-4.9% | -61.4% | -0.07 | -0.08 | 0.5x | 131 | 40% |
| Parabolic SAR step=0.045, maxStep=0.34 |
-7.2% | -86.4% | -0.10 | -0.08 | 0.4x | 458 | 49% |
| 볼린저 밴드 돌파 n=21, k=2 |
-4.9% | -64.7% | -0.13 | -0.08 | 0.5x | 104 | 27% |
| MACD fast=14, slow=27, signal=19 |
-10.6% | -87.7% | -0.18 | -0.12 | 0.2x | 172 | 47% |
| Buy and hold | -9.4% | -88.6% | 0.02 | -0.11 | 0.3x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 44 days