Trend-Following Backtester · Guide · backtest 한국어
equity · US
AAON, Inc. backtest
10 trend-following strategies were compared on the full daily history of AAON, Inc.. 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 23.9%, drawdown -73.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.5%, MDD -74.4%, Sharpe 0.60, 93% 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=7, exitN=102 |
18.5% | -74.4% | 0.60 | 0.25 | 296.9x | 69 | 93% |
| SMA 크로스오버 fast=20, slow=50 |
9.7% | -65.4% | 0.44 | 0.15 | 22.7x | 180 | 60% |
| EMA 크로스오버 fast=44, slow=60 |
8.3% | -77.7% | 0.40 | 0.11 | 14.6x | 100 | 66% |
| ADX / DI 방향성 period=38, threshold=15 |
5.6% | -62.4% | 0.33 | 0.09 | 6.3x | 140 | 32% |
| Supertrend period=25, mult=4.7 |
5.2% | -78.0% | 0.32 | 0.07 | 5.5x | 104 | 60% |
| ROC 모멘텀 n=92, threshold=-0.09 |
4.2% | -87.9% | 0.30 | 0.05 | 4.0x | 313 | 81% |
| Keltner 채널 돌파 emaPeriod=124, atrPeriod=10, mult=3.6 |
1.9% | -73.8% | 0.20 | 0.03 | 1.9x | 84 | 41% |
| 볼린저 밴드 돌파 n=32, k=3 |
0.6% | -55.0% | 0.13 | 0.01 | 1.2x | 96 | 17% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-2.5% | -93.1% | 0.10 | -0.03 | 0.4x | 704 | 55% |
| MACD fast=19, slow=23, signal=17 |
-2.4% | -91.7% | 0.10 | -0.03 | 0.4x | 480 | 51% |
| Buy and hold | 23.9% | -73.6% | 0.68 | 0.32 | 1333.5x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 102 days