Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aon plc backtest
10 trend-following strategies were compared on the full daily history of Aon plc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -70.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -63.5%, Sharpe 0.50, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 98% entryN=2, exitN=189 |
10.2% | -63.5% | 0.50 | 0.16 | 89.2x | 59 | 98% |
| SMA 크로스오버 fast=48, slow=273 |
5.1% | -62.5% | 0.35 | 0.08 | 9.9x | 60 | 68% |
| EMA 크로스오버 fast=57, slow=177 |
4.2% | -69.6% | 0.30 | 0.06 | 6.6x | 67 | 70% |
| Supertrend period=9, mult=4.5 |
3.1% | -49.1% | 0.26 | 0.06 | 4.1x | 193 | 58% |
| ROC 모멘텀 n=127, threshold=-0.04 |
2.6% | -78.3% | 0.23 | 0.03 | 3.2x | 333 | 75% |
| ADX / DI 방향성 period=31, threshold=38 |
0.4% | -5.7% | 0.21 | 0.07 | 1.2x | 4 | 1% |
| 볼린저 밴드 돌파 n=11, k=3 |
0.4% | -8.0% | 0.19 | 0.04 | 1.2x | 14 | 1% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=19, mult=2.3 |
0.9% | -20.6% | 0.19 | 0.04 | 1.5x | 86 | 4% |
| MACD fast=18, slow=48, signal=17 |
-2.0% | -74.7% | -0.02 | -0.03 | 0.4x | 523 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.9% | -84.7% | -0.05 | -0.03 | 0.3x | 615 | 56% |
| Buy and hold | 11.2% | -70.7% | 0.53 | 0.16 | 133.6x | 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 2 days
- Sell — Sell when price breaks below the lowest low of the last 189 days