Trend-Following Backtester · Guide · backtest 한국어

equity · US

Orchid Island Capital, Inc. backtest

10 trend-following strategies were compared on the full daily history of Orchid Island Capital, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -3.0%).

Data 2013-02-14 ~ 2026-07-31daily bars 3,385 (13.5 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -16.6%, drawdown -92.0%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -3.0%, Sharpe 0.09, 0% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 89.0%p (CAGR 0.1%, MDD -3.0%, exposure 0%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=39, threshold=23
0.1%-3.0%0.090.051.0x60%
볼린저 밴드 돌파
n=34, k=3.4
-0.2%-7.5%-0.06-0.021.0x21%
Supertrend
period=18, mult=2.5
-5.0%-67.3%-0.12-0.070.5x10850%
Keltner 채널 돌파
emaPeriod=13, atrPeriod=14, mult=3.1
-0.4%-7.1%-0.19-0.051.0x20%
ROC 모멘텀
n=5, threshold=0.11
-3.2%-50.0%-0.24-0.060.6x321%
MACD
fast=12, slow=23, signal=15
-7.5%-65.9%-0.28-0.110.3x20453%
Parabolic SAR
step=0.01, maxStep=0.28
-9.5%-73.9%-0.34-0.130.3x15850%
EMA 크로스오버
fast=57, slow=138
-4.9%-56.8%-0.34-0.090.5x1427%
Donchian 채널 돌파
entryN=36, exitN=78
-9.4%-77.3%-0.42-0.120.3x3455%
SMA 크로스오버
fast=43, slow=160
-11.6%-84.7%-0.44-0.140.2x2633%
Buy and hold-16.6%-92.0%-0.31-0.180.1x1100%
0.1 1x 2014 2016 2018 2020 2022 2024 2026 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -69% -92% 2014 2016 2018 2020 2022 2024 2026 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -3.0% (2013-08-26 → 2013-08-29), recovered after 3,762 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next