Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Oryzon Genomics SA backtest
10 trend-following strategies were compared on the full daily history of Oryzon Genomics SA. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.3%, MDD -32.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -4.4%, drawdown -72.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.3%, MDD -32.7%, Sharpe 0.33, 8% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 5.3%, MDD -32.7%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=22, threshold=0.2 |
5.3% | -32.7% | 0.33 | 0.16 | 1.7x | 46 | 8% |
| Donchian 채널 돌파 entryN=34, exitN=36 |
3.3% | -62.3% | 0.27 | 0.05 | 1.4x | 29 | 44% |
| SMA 크로스오버 fast=24, slow=46 |
1.5% | -73.5% | 0.22 | 0.02 | 1.2x | 66 | 38% |
| ADX / DI 방향성 period=15, threshold=39 |
1.3% | -38.3% | 0.16 | 0.03 | 1.1x | 12 | 3% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
0.2% | -46.0% | 0.13 | 0.00 | 1.0x | 22 | 14% |
| Supertrend period=8, mult=2.9 |
-3.1% | -82.0% | 0.13 | -0.04 | 0.7x | 68 | 45% |
| MACD fast=13, slow=35, signal=13 |
-3.4% | -67.5% | 0.11 | -0.05 | 0.7x | 164 | 49% |
| EMA 크로스오버 fast=34, slow=53 |
-4.5% | -72.2% | 0.04 | -0.06 | 0.6x | 38 | 38% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-6.4% | -75.8% | 0.01 | -0.08 | 0.5x | 74 | 42% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=2.5 |
-4.9% | -73.9% | -0.02 | -0.07 | 0.6x | 34 | 20% |
| Buy and hold | -4.4% | -72.8% | 0.19 | -0.06 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 22-day return is greater than 20%
- Sell — Sell when the 22-day return drops to 20% or below