Trend-Following Backtester · Guide · backtest 한국어
equity · US
BOK Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of BOK Financial Corporation. 1 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 8.9%, MDD -56.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.6%, drawdown -85.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -56.0%, Sharpe 0.42, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 8.9%, MDD -56.0%, exposure 85%).
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=22, exitN=94 |
8.9% | -56.0% | 0.42 | 0.16 | 19.7x | 65 | 85% |
| SMA 크로스오버 fast=39, slow=138 |
6.4% | -62.4% | 0.36 | 0.10 | 8.6x | 81 | 65% |
| EMA 크로스오버 fast=45, slow=207 |
4.1% | -64.4% | 0.28 | 0.06 | 4.0x | 55 | 69% |
| Supertrend period=14, mult=5 |
1.0% | -85.7% | 0.24 | 0.01 | 1.4x | 91 | 63% |
| 볼린저 밴드 돌파 n=81, k=2.5 |
2.6% | -46.2% | 0.23 | 0.06 | 2.5x | 72 | 27% |
| ADX / DI 방향성 period=48, threshold=17 |
2.3% | -48.4% | 0.21 | 0.05 | 2.2x | 42 | 13% |
| ROC 모멘텀 n=148, threshold=-0.1 |
0.4% | -73.7% | 0.18 | 0.01 | 1.2x | 225 | 82% |
| MACD fast=24, slow=90, signal=31 |
-1.9% | -91.0% | 0.06 | -0.02 | 0.5x | 283 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=2.2 |
-3.2% | -85.5% | -0.05 | -0.04 | 0.3x | 185 | 37% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-7.7% | -95.2% | -0.07 | -0.08 | 0.1x | 299 | 55% |
| Buy and hold | 7.6% | -85.7% | 0.41 | 0.09 | 12.7x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 94 days