Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Oxford BioMedica plc backtest
10 trend-following strategies were compared on the full daily history of Oxford BioMedica plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.6%, MDD -62.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.1%, drawdown -98.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.0%, MDD -84.8%, Sharpe 0.56, 37% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 22.1%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 17.6%, MDD -62.0%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=1.2 |
18.0% | -84.8% | 0.56 | 0.21 | 133.7x | 152 | 37% |
| Donchian 채널 돌파 entryN=74, exitN=26 |
17.6% | -62.0% | 0.56 | 0.28 | 122.7x | 56 | 30% |
| SMA 크로스오버 fast=26, slow=140 |
16.7% | -71.4% | 0.54 | 0.23 | 96.1x | 44 | 44% |
| ADX / DI 방향성 period=36, threshold=12 |
15.2% | -84.3% | 0.51 | 0.18 | 66.4x | 184 | 39% |
| EMA 크로스오버 fast=52, slow=58 |
14.5% | -84.0% | 0.50 | 0.17 | 56.0x | 56 | 43% |
| ROC 모멘텀 n=118, threshold=0.12 |
14.2% | -75.5% | 0.49 | 0.19 | 51.7x | 176 | 37% |
| Supertrend period=10, mult=4.5 |
14.2% | -85.7% | 0.49 | 0.17 | 51.3x | 72 | 57% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=15, mult=1.1 |
12.8% | -77.5% | 0.47 | 0.17 | 35.6x | 166 | 35% |
| MACD fast=23, slow=54, signal=23 |
4.9% | -90.6% | 0.34 | 0.05 | 4.1x | 234 | 52% |
| Parabolic SAR step=0.035, maxStep=0.12 |
3.5% | -84.4% | 0.29 | 0.04 | 2.8x | 740 | 46% |
| Buy and hold | -4.1% | -98.8% | 0.28 | -0.04 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 51-day middle average