Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Outokumpu Oyj backtest
10 trend-following strategies were compared on the full daily history of Outokumpu Oyj. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -40.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.6%, drawdown -97.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -51.5%, Sharpe 0.42, 19% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 6.4%, MDD -62.7%, exposure 29%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 1.3%, MDD -40.0%, exposure 6%).
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=87, exitN=10 |
6.3% | -51.5% | 0.42 | 0.12 | 5.1x | 76 | 19% |
| 볼린저 밴드 돌파 n=46, k=2 |
6.4% | -62.7% | 0.38 | 0.10 | 5.3x | 104 | 29% |
| SMA 크로스오버 fast=50, slow=119 |
6.1% | -62.8% | 0.35 | 0.10 | 4.9x | 57 | 45% |
| EMA 크로스오버 fast=47, slow=92 |
4.6% | -67.2% | 0.30 | 0.07 | 3.3x | 43 | 43% |
| ROC 모멘텀 n=79, threshold=0.07 |
4.0% | -71.9% | 0.28 | 0.06 | 2.9x | 262 | 35% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=27, mult=1.8 |
2.8% | -44.4% | 0.23 | 0.06 | 2.1x | 186 | 23% |
| ADX / DI 방향성 period=39, threshold=23 |
1.3% | -40.0% | 0.18 | 0.03 | 1.4x | 22 | 6% |
| Supertrend period=17, mult=2.2 |
-2.5% | -90.7% | 0.07 | -0.03 | 0.5x | 304 | 46% |
| Parabolic SAR step=0.045, maxStep=0.1 |
-7.0% | -95.0% | -0.07 | -0.07 | 0.1x | 639 | 49% |
| MACD fast=10, slow=28, signal=19 |
-9.3% | -97.4% | -0.12 | -0.10 | 0.1x | 423 | 51% |
| Buy and hold | -6.6% | -97.4% | 0.08 | -0.07 | 0.2x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 10 days