Trend-Following Backtester · Guide · backtest 한국어
equity · JP
OBIC Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of OBIC Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -32.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -63.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -32.8%, Sharpe 0.47, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 31.1%p (CAGR 8.1%, MDD -32.8%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=247 |
8.1% | -32.8% | 0.47 | 0.25 | 7.4x | 39 | 60% |
| EMA 크로스오버 fast=52, slow=218 |
6.1% | -51.4% | 0.38 | 0.12 | 4.5x | 33 | 61% |
| Donchian 채널 돌파 entryN=91, exitN=76 |
3.1% | -51.1% | 0.25 | 0.06 | 2.2x | 35 | 54% |
| ROC 모멘텀 n=191, threshold=-0.03 |
3.0% | -71.9% | 0.24 | 0.04 | 2.1x | 189 | 66% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
1.1% | -20.8% | 0.18 | 0.05 | 1.3x | 20 | 7% |
| ADX / DI 방향성 period=28, threshold=30 |
0.8% | -19.9% | 0.17 | 0.04 | 1.2x | 8 | 2% |
| Supertrend period=10, mult=3.4 |
1.0% | -77.3% | 0.16 | 0.01 | 1.3x | 161 | 56% |
| MACD fast=21, slow=51, signal=18 |
0.7% | -74.8% | 0.14 | 0.01 | 1.2x | 263 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=3.5 |
0.8% | -44.6% | 0.13 | 0.02 | 1.2x | 73 | 26% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.9% | -79.4% | 0.02 | -0.02 | 0.6x | 209 | 54% |
| Buy and hold | 9.7% | -63.9% | 0.45 | 0.15 | 10.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 247-day average
- Sell — Sell (to cash) when the 26-day average falls below the 247-day average