Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Open House Group Co. Ltd backtest
10 trend-following strategies were compared on the full daily history of Open House Group Co. Ltd. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 23.5%, drawdown -51.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.0%, MDD -42.4%, Sharpe 0.75, 76% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=39, exitN=71 |
21.0% | -42.4% | 0.75 | 0.50 | 11.6x | 22 | 76% |
| SMA 크로스오버 fast=31, slow=89 |
17.1% | -44.5% | 0.69 | 0.38 | 7.6x | 36 | 62% |
| EMA 크로스오버 fast=16, slow=95 |
17.2% | -51.8% | 0.68 | 0.33 | 7.7x | 36 | 64% |
| ROC 모멘텀 n=149, threshold=-0.03 |
13.0% | -67.4% | 0.54 | 0.19 | 4.8x | 94 | 71% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
9.6% | -37.5% | 0.51 | 0.26 | 3.2x | 83 | 36% |
| ADX / DI 방향성 period=37, threshold=24 |
6.2% | -20.0% | 0.51 | 0.31 | 2.2x | 10 | 11% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=12, mult=2.7 |
8.3% | -32.1% | 0.51 | 0.26 | 2.8x | 56 | 28% |
| Supertrend period=18, mult=4.3 |
10.4% | -48.9% | 0.49 | 0.21 | 3.6x | 56 | 58% |
| Parabolic SAR step=0.03, maxStep=0.1 |
6.8% | -56.9% | 0.37 | 0.12 | 2.3x | 261 | 55% |
| MACD fast=33, slow=59, signal=19 |
4.8% | -50.9% | 0.31 | 0.09 | 1.8x | 111 | 49% |
| Buy and hold | 23.5% | -51.7% | 0.73 | 0.45 | 15.1x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 71 days