Trend-Following Backtester · Guide · backtest 한국어
equity · CA
OR Royalties Inc. backtest
10 trend-following strategies were compared on the full daily history of OR Royalties Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -45.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -60.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -45.7%, Sharpe 0.51, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 15.1%p (CAGR 9.7%, MDD -45.7%, exposure 49%).
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=71, exitN=43 |
9.7% | -45.7% | 0.51 | 0.21 | 3.0x | 20 | 49% |
| Supertrend period=14, mult=5 |
8.0% | -44.6% | 0.43 | 0.18 | 2.5x | 33 | 53% |
| SMA 크로스오버 fast=11, slow=204 |
7.1% | -43.1% | 0.40 | 0.17 | 2.2x | 26 | 54% |
| ROC 모멘텀 n=110, threshold=-0.01 |
6.9% | -39.0% | 0.39 | 0.18 | 2.2x | 85 | 57% |
| EMA 크로스오버 fast=34, slow=141 |
6.7% | -48.9% | 0.38 | 0.14 | 2.1x | 22 | 56% |
| ADX / DI 방향성 period=25, threshold=28 |
1.7% | -16.2% | 0.29 | 0.11 | 1.2x | 8 | 4% |
| MACD fast=22, slow=52, signal=23 |
3.9% | -66.6% | 0.28 | 0.06 | 1.6x | 101 | 47% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.1% | -57.2% | 0.21 | 0.04 | 1.3x | 207 | 51% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=9, mult=1.9 |
1.7% | -24.1% | 0.19 | 0.07 | 1.2x | 61 | 16% |
| 볼린저 밴드 돌파 n=25, k=3.1 |
1.0% | -24.3% | 0.19 | 0.04 | 1.1x | 12 | 5% |
| Buy and hold | 11.1% | -60.8% | 0.47 | 0.18 | 3.4x | 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 71 days
- Sell — Sell when price breaks below the lowest low of the last 43 days