Trend-Following Backtester · Guide · backtest 한국어

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Jabal Omar Development Co. backtest

10 trend-following strategies were compared on the full daily history of Jabal Omar Development Co.. 10 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 10.2%, MDD -32.3%).

Data 2010-03-03 ~ 2026-07-30daily bars 4,034 (16.4 years)Costs 0.5%Venue TADAWULMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -0.9%, drawdown -83.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -32.3%, Sharpe 0.66, 24% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 10.2%, MDD -32.3%, exposure 24%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=52, exitN=18
10.2%-32.3%0.660.324.9x3924%
Keltner 채널 돌파
emaPeriod=44, atrPeriod=12, mult=2.7
9.8%-38.3%0.620.264.6x4524%
볼린저 밴드 돌파
n=58, k=2.3
9.0%-32.9%0.600.284.1x3322%
ADX / DI 방향성
period=20, threshold=25
7.8%-33.1%0.560.233.4x6620%
EMA 크로스오버
fast=25, slow=75
7.1%-44.2%0.440.163.1x3540%
SMA 크로스오버
fast=21, slow=76
7.0%-46.0%0.430.153.0x4939%
Supertrend
period=23, mult=3
6.5%-47.2%0.420.142.8x12146%
Parabolic SAR
step=0.025, maxStep=0.22
5.9%-58.8%0.380.102.6x32448%
ROC 모멘텀
n=62, threshold=0.06
4.8%-49.4%0.340.102.1x11430%
MACD
fast=14, slow=51, signal=7
3.1%-65.0%0.250.051.7x25551%
Buy and hold-0.9%-83.5%0.12-0.010.9x1100%
1x 2011 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -32.3% (2017-07-03 → 2020-08-26), recovered after 1,749 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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