Trend-Following Backtester · Guide · backtest 한국어
equity · US
OPENLANE, Inc. backtest
10 trend-following strategies were compared on the full daily history of OPENLANE, Inc.. 0 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 12.5%, MDD -46.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -65.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -46.0%, Sharpe 0.53, 91% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 19.6%p (CAGR 12.5%, MDD -46.0%, exposure 91%).
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=6, exitN=69 |
12.5% | -46.0% | 0.53 | 0.27 | 7.2x | 47 | 91% |
| Supertrend period=18, mult=2.5 |
9.2% | -42.6% | 0.48 | 0.22 | 4.4x | 138 | 59% |
| SMA 크로스오버 fast=69, slow=164 |
7.0% | -53.7% | 0.41 | 0.13 | 3.1x | 23 | 66% |
| MACD fast=18, slow=37, signal=15 |
7.2% | -50.9% | 0.40 | 0.14 | 3.2x | 194 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=29, mult=3.4 |
2.0% | -37.4% | 0.23 | 0.05 | 1.4x | 46 | 25% |
| Parabolic SAR step=0.025, maxStep=0.18 |
2.5% | -54.8% | 0.22 | 0.05 | 1.5x | 403 | 54% |
| EMA 크로스오버 fast=21, slow=219 |
2.3% | -76.5% | 0.22 | 0.03 | 1.5x | 33 | 68% |
| 볼린저 밴드 돌파 n=11, k=1.7 |
1.2% | -47.1% | 0.15 | 0.02 | 1.2x | 286 | 36% |
| ROC 모멘텀 n=84, threshold=0.03 |
0.6% | -63.4% | 0.13 | 0.01 | 1.1x | 187 | 56% |
| ADX / DI 방향성 period=24, threshold=20 |
0.9% | -41.4% | 0.13 | 0.02 | 1.2x | 88 | 26% |
| Buy and hold | 13.1% | -65.5% | 0.52 | 0.20 | 7.8x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 69 days