Trend-Following Backtester · Guide · backtest 한국어
equity · JP
OBIC Business Consultants Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of OBIC Business Consultants Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -68.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.7%, MDD -56.6%, Sharpe 0.37, 76% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=148, threshold=-0.12 |
6.7% | -56.6% | 0.37 | 0.12 | 4.3x | 103 | 76% |
| SMA 크로스오버 fast=25, slow=186 |
4.7% | -52.8% | 0.31 | 0.09 | 2.8x | 38 | 58% |
| EMA 크로스오버 fast=53, slow=106 |
4.3% | -52.7% | 0.29 | 0.08 | 2.5x | 34 | 58% |
| Donchian 채널 돌파 entryN=9, exitN=59 |
3.7% | -71.6% | 0.27 | 0.05 | 2.3x | 79 | 85% |
| Supertrend period=4, mult=3.5 |
1.8% | -61.5% | 0.20 | 0.03 | 1.5x | 133 | 54% |
| 볼린저 밴드 돌파 n=18, k=2.3 |
-2.5% | -59.6% | -0.09 | -0.04 | 0.6x | 145 | 19% |
| ADX / DI 방향성 period=35, threshold=21 |
-1.7% | -48.4% | -0.10 | -0.03 | 0.7x | 32 | 9% |
| MACD fast=18, slow=43, signal=13 |
-5.6% | -81.6% | -0.12 | -0.07 | 0.3x | 301 | 49% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=2.4 |
-5.0% | -74.6% | -0.20 | -0.07 | 0.3x | 119 | 30% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-7.2% | -89.7% | -0.20 | -0.08 | 0.2x | 371 | 49% |
| Buy and hold | 7.6% | -68.1% | 0.39 | 0.11 | 5.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 148-day return is greater than -12%
- Sell — Sell when the 148-day return drops to -12% or below