Trend-Following Backtester · Guide · backtest 한국어
equity · US
Omeros Corporation backtest
10 trend-following strategies were compared on the full daily history of Omeros Corporation. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.8%, MDD -60.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.8%, drawdown -96.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -96.1%, Sharpe 0.47, 78% exposure.
CAGR reference leader: Supertrend — CAGR 11.8%, MDD -60.4%, exposure 43%.
Return/drawdown alternative: Supertrend — CAGR is 6.8%p higher than buy and hold, while drawdown improves by -0.2%p (CAGR 11.8%, MDD -60.4%, exposure 43%).
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=1, exitN=9 |
8.6% | -96.1% | 0.47 | 0.09 | 4.0x | 335 | 78% |
| Supertrend period=23, mult=1.8 |
11.8% | -60.4% | 0.46 | 0.20 | 6.5x | 205 | 43% |
| ADX / DI 방향성 period=21, threshold=15 |
10.8% | -78.1% | 0.44 | 0.14 | 5.6x | 177 | 41% |
| Parabolic SAR step=0.01, maxStep=0.34 |
8.1% | -90.3% | 0.42 | 0.09 | 3.7x | 197 | 47% |
| MACD fast=15, slow=35, signal=12 |
6.1% | -80.6% | 0.39 | 0.08 | 2.7x | 229 | 52% |
| SMA 크로스오버 fast=53, slow=159 |
4.5% | -86.1% | 0.36 | 0.05 | 2.1x | 30 | 49% |
| EMA 크로스오버 fast=56, slow=155 |
2.6% | -83.8% | 0.32 | 0.03 | 1.5x | 25 | 47% |
| 볼린저 밴드 돌파 n=27, k=1.4 |
-0.6% | -84.3% | 0.25 | -0.01 | 0.9x | 157 | 34% |
| ROC 모멘텀 n=28, threshold=-0.04 |
-8.8% | -97.9% | 0.20 | -0.09 | 0.2x | 365 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=1.8 |
-7.6% | -95.1% | 0.13 | -0.08 | 0.3x | 88 | 31% |
| Buy and hold | 1.8% | -96.0% | 0.45 | 0.02 | 1.3x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 9 days