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 8.0%, drawdown -68.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -56.6%, Sharpe 0.38, 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 |
7.1% | -56.6% | 0.38 | 0.13 | 4.7x | 103 | 76% |
| SMA 크로스오버 fast=25, slow=186 |
5.2% | -52.8% | 0.33 | 0.10 | 3.1x | 39 | 58% |
| EMA 크로스오버 fast=53, slow=106 |
4.6% | -52.7% | 0.31 | 0.09 | 2.8x | 35 | 58% |
| Donchian 채널 돌파 entryN=9, exitN=59 |
4.1% | -71.6% | 0.29 | 0.06 | 2.5x | 79 | 85% |
| Supertrend period=4, mult=3.5 |
2.2% | -61.5% | 0.21 | 0.04 | 1.6x | 133 | 54% |
| ADX / DI 방향성 period=35, threshold=21 |
-1.2% | -48.4% | -0.05 | -0.02 | 0.8x | 33 | 9% |
| 볼린저 밴드 돌파 n=18, k=2.3 |
-2.1% | -59.6% | -0.06 | -0.04 | 0.6x | 145 | 19% |
| MACD fast=18, slow=43, signal=13 |
-5.2% | -81.6% | -0.11 | -0.06 | 0.3x | 301 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=2.4 |
-4.6% | -74.6% | -0.18 | -0.06 | 0.3x | 119 | 30% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-7.1% | -89.7% | -0.20 | -0.08 | 0.2x | 373 | 49% |
| Buy and hold | 8.0% | -68.1% | 0.40 | 0.12 | 5.6x | 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