Trend-Following Backtester · Guide · backtest 한국어
equity · GB
OSB Group PLC backtest
10 trend-following strategies were compared on the full daily history of OSB Group PLC. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.1%, MDD -44.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -59.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -53.4%, Sharpe 0.47, 81% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 6.2%p (CAGR 8.1%, MDD -44.9%, exposure 58%).
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=8, exitN=55 |
10.4% | -53.4% | 0.47 | 0.20 | 3.4x | 47 | 81% |
| Supertrend period=11, mult=4.8 |
8.1% | -44.9% | 0.43 | 0.18 | 2.6x | 32 | 58% |
| 볼린저 밴드 돌파 n=13, k=2.8 |
3.6% | -17.9% | 0.41 | 0.20 | 1.5x | 22 | 5% |
| SMA 크로스오버 fast=63, slow=133 |
5.4% | -67.4% | 0.33 | 0.08 | 1.9x | 24 | 58% |
| ROC 모멘텀 n=53, threshold=-0.06 |
4.7% | -51.9% | 0.30 | 0.09 | 1.8x | 89 | 74% |
| ADX / DI 방향성 period=23, threshold=27 |
2.2% | -14.7% | 0.29 | 0.15 | 1.3x | 22 | 8% |
| MACD fast=26, slow=76, signal=10 |
4.0% | -48.7% | 0.28 | 0.08 | 1.6x | 126 | 50% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=24, mult=3.7 |
1.1% | -25.3% | 0.19 | 0.05 | 1.1x | 10 | 5% |
| Parabolic SAR step=0.02, maxStep=0.2 |
0.2% | -55.6% | 0.16 | 0.00 | 1.0x | 260 | 53% |
| EMA 크로스오버 fast=18, slow=83 |
-1.3% | -69.1% | 0.10 | -0.02 | 0.8x | 46 | 62% |
| Buy and hold | 9.3% | -59.6% | 0.43 | 0.16 | 3.0x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 55 days