Trend-Following Backtester · Guide · backtest 한국어
equity · DE
OHB SE backtest
10 trend-following strategies were compared on the full daily history of OHB SE. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -75.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -66.1%, Sharpe 0.46, 58% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=208 |
10.9% | -66.1% | 0.46 | 0.17 | 13.9x | 41 | 58% |
| Donchian 채널 돌파 entryN=70, exitN=56 |
9.5% | -70.0% | 0.43 | 0.14 | 10.0x | 44 | 49% |
| 볼린저 밴드 돌파 n=46, k=3 |
8.3% | -45.6% | 0.43 | 0.18 | 7.6x | 70 | 22% |
| ADX / DI 방향성 period=32, threshold=24 |
7.2% | -49.4% | 0.42 | 0.15 | 5.8x | 28 | 10% |
| ROC 모멘텀 n=100, threshold=0.23 |
8.5% | -55.1% | 0.42 | 0.15 | 8.0x | 128 | 21% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=4 |
7.8% | -46.2% | 0.42 | 0.17 | 6.7x | 40 | 17% |
| EMA 크로스오버 fast=43, slow=142 |
7.8% | -74.3% | 0.38 | 0.10 | 6.7x | 59 | 58% |
| Supertrend period=10, mult=4.9 |
4.4% | -75.8% | 0.30 | 0.06 | 3.0x | 78 | 57% |
| MACD fast=12, slow=59, signal=17 |
4.0% | -75.5% | 0.28 | 0.05 | 2.7x | 320 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.2% | -72.6% | 0.23 | 0.03 | 1.8x | 170 | 51% |
| Buy and hold | 13.3% | -75.9% | 0.49 | 0.17 | 23.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 42-day average falls below the 208-day average