Trend-Following Backtester · Guide · backtest 한국어
equity · CH
OC Oerlikon Corporation AG backtest
10 trend-following strategies were compared on the full daily history of OC Oerlikon Corporation AG. 10 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 2.3%, MDD -41.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.0%, drawdown -97.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -47.9%, Sharpe 0.31, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 49.6%p (CAGR 2.3%, MDD -41.0%, exposure 18%).
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=81, exitN=32 |
6.8% | -47.9% | 0.31 | 0.14 | 5.5x | 37 | 42% |
| ROC 모멘텀 n=136, threshold=0.11 |
3.4% | -56.6% | 0.28 | 0.06 | 2.4x | 79 | 24% |
| 볼린저 밴드 돌파 n=28, k=1.6 |
3.1% | -62.2% | 0.25 | 0.05 | 2.2x | 153 | 26% |
| EMA 크로스오버 fast=72, slow=148 |
2.8% | -68.1% | 0.24 | 0.04 | 2.0x | 17 | 28% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=15, mult=3.2 |
2.3% | -41.0% | 0.22 | 0.06 | 1.8x | 53 | 18% |
| Supertrend period=18, mult=3.8 |
2.4% | -68.6% | 0.22 | 0.03 | 1.8x | 103 | 37% |
| ADX / DI 방향성 period=25, threshold=22 |
2.1% | -44.5% | 0.21 | 0.05 | 1.7x | 61 | 13% |
| SMA 크로스오버 fast=21, slow=184 |
1.6% | -63.9% | 0.18 | 0.03 | 1.5x | 31 | 32% |
| MACD fast=18, slow=55, signal=13 |
0.3% | -85.4% | 0.15 | 0.00 | 1.1x | 225 | 63% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-2.7% | -80.5% | 0.00 | -0.03 | 0.5x | 259 | 37% |
| Buy and hold | -8.0% | -97.5% | 0.02 | -0.08 | 0.1x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 32 days