Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Oakley Capital Investments Ltd Registered backtest
10 trend-following strategies were compared on the full daily history of Oakley Capital Investments Ltd Registered. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.7%, MDD -24.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.0%, drawdown -45.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 10.7%, MDD -36.2%, Sharpe 0.94, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 9.6%p (CAGR 9.7%, MDD -24.8%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.025, maxStep=0.22 |
10.7% | -36.2% | 0.94 | 0.30 | 6.9x | 331 | 53% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
4.7% | -10.9% | 0.89 | 0.43 | 2.4x | 36 | 14% |
| Supertrend period=23, mult=2.8 |
9.7% | -24.8% | 0.81 | 0.39 | 5.8x | 117 | 65% |
| Donchian 채널 돌파 entryN=71, exitN=38 |
8.4% | -31.8% | 0.78 | 0.26 | 4.6x | 34 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=21, mult=2.3 |
6.9% | -31.3% | 0.74 | 0.22 | 3.5x | 76 | 42% |
| SMA 크로스오버 fast=6, slow=116 |
8.5% | -31.6% | 0.71 | 0.27 | 4.7x | 57 | 58% |
| EMA 크로스오버 fast=7, slow=108 |
8.5% | -32.3% | 0.70 | 0.26 | 4.7x | 61 | 58% |
| ROC 모멘텀 n=102, threshold=0 |
7.7% | -24.0% | 0.64 | 0.32 | 4.1x | 109 | 58% |
| MACD fast=12, slow=41, signal=12 |
6.2% | -31.4% | 0.60 | 0.20 | 3.2x | 221 | 49% |
| ADX / DI 방향성 period=10, threshold=17 |
4.3% | -40.6% | 0.44 | 0.11 | 2.2x | 339 | 46% |
| Buy and hold | 9.0% | -45.9% | 0.57 | 0.20 | 5.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots