Trend-Following Backtester · Guide · backtest 한국어
equity · US
ON Semiconductor Corporation backtest
10 trend-following strategies were compared on the full daily history of ON Semiconductor Corporation. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.6%, MDD -39.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.8%, drawdown -96.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.0%, MDD -65.8%, Sharpe 0.49, 69% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 8.6%, MDD -39.8%, exposure 31%).
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=26, exitN=56 |
13.0% | -65.8% | 0.49 | 0.20 | 24.8x | 68 | 69% |
| Supertrend period=3, mult=4 |
12.4% | -56.6% | 0.49 | 0.22 | 21.4x | 120 | 53% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=8, mult=2.7 |
8.6% | -39.8% | 0.42 | 0.22 | 8.7x | 96 | 31% |
| 볼린저 밴드 돌파 n=40, k=2.1 |
8.5% | -46.2% | 0.41 | 0.18 | 8.6x | 122 | 33% |
| SMA 크로스오버 fast=16, slow=87 |
8.9% | -70.1% | 0.41 | 0.13 | 9.4x | 110 | 55% |
| EMA 크로스오버 fast=10, slow=210 |
7.1% | -68.6% | 0.37 | 0.10 | 6.1x | 71 | 56% |
| ROC 모멘텀 n=99, threshold=0.06 |
6.9% | -61.5% | 0.37 | 0.11 | 5.8x | 203 | 50% |
| ADX / DI 방향성 period=16, threshold=12 |
5.5% | -76.0% | 0.33 | 0.07 | 4.1x | 470 | 50% |
| MACD fast=15, slow=45, signal=19 |
3.5% | -76.4% | 0.29 | 0.05 | 2.5x | 296 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.1% | -76.7% | 0.28 | 0.04 | 2.2x | 360 | 52% |
| Buy and hold | 4.8% | -96.2% | 0.38 | 0.05 | 3.4x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 56 days