Trend-Following Backtester · Guide · backtest 한국어
equity · CA
OceanaGold Corporation backtest
10 trend-following strategies were compared on the full daily history of OceanaGold Corporation. 8 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 17.3%, MDD -42.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.3%, drawdown -95.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.3%, MDD -42.5%, Sharpe 0.66, 26% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 53.2%p (CAGR 17.3%, MDD -42.5%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=15 |
17.3% | -42.5% | 0.66 | 0.41 | 20.1x | 50 | 26% |
| SMA 크로스오버 fast=50, slow=141 |
14.0% | -78.8% | 0.53 | 0.18 | 11.7x | 32 | 54% |
| Donchian 채널 돌파 entryN=98, exitN=29 |
10.6% | -60.5% | 0.48 | 0.18 | 6.6x | 36 | 30% |
| Supertrend period=5, mult=4.8 |
12.3% | -78.8% | 0.48 | 0.16 | 8.8x | 62 | 56% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=4 |
9.7% | -54.6% | 0.47 | 0.18 | 5.7x | 36 | 19% |
| ROC 모멘텀 n=128, threshold=0.13 |
9.8% | -80.3% | 0.44 | 0.12 | 5.8x | 146 | 43% |
| 볼린저 밴드 돌파 n=52, k=3 |
8.1% | -61.9% | 0.42 | 0.13 | 4.3x | 34 | 18% |
| EMA 크로스오버 fast=19, slow=126 |
8.3% | -84.3% | 0.40 | 0.10 | 4.5x | 52 | 52% |
| MACD fast=24, slow=81, signal=24 |
2.1% | -86.7% | 0.28 | 0.02 | 1.5x | 136 | 50% |
| Parabolic SAR step=0.02, maxStep=0.22 |
0.0% | -91.5% | 0.21 | 0.00 | 1.0x | 379 | 50% |
| Buy and hold | 7.3% | -95.7% | 0.43 | 0.08 | 3.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)