Trend-Following Backtester · Guide · backtest 한국어
equity · JP
OSG Corp backtest
10 trend-following strategies were compared on the full daily history of OSG Corp. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -54.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -80.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -48.9%, Sharpe 0.39, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -54.3%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 31.4%p (CAGR 6.0%, MDD -54.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=14, mult=3.8 |
5.1% | -48.9% | 0.39 | 0.10 | 3.6x | 60 | 21% |
| SMA 크로스오버 fast=39, slow=170 |
6.0% | -54.3% | 0.37 | 0.11 | 4.5x | 47 | 54% |
| 볼린저 밴드 돌파 n=54, k=2.4 |
4.9% | -60.5% | 0.36 | 0.08 | 3.4x | 70 | 26% |
| ROC 모멘텀 n=155, threshold=-0.08 |
5.7% | -62.4% | 0.34 | 0.09 | 4.2x | 175 | 70% |
| EMA 크로스오버 fast=52, slow=187 |
5.4% | -60.8% | 0.34 | 0.09 | 3.8x | 37 | 58% |
| Donchian 채널 돌파 entryN=75, exitN=66 |
5.0% | -59.5% | 0.33 | 0.08 | 3.5x | 45 | 50% |
| Supertrend period=16, mult=5 |
2.8% | -77.0% | 0.24 | 0.04 | 2.0x | 93 | 51% |
| ADX / DI 방향성 period=19, threshold=21 |
2.3% | -53.1% | 0.23 | 0.04 | 1.8x | 138 | 19% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.8% | -78.2% | 0.09 | -0.01 | 0.8x | 334 | 52% |
| MACD fast=8, slow=38, signal=17 |
-3.1% | -75.3% | -0.01 | -0.04 | 0.4x | 433 | 51% |
| Buy and hold | 7.0% | -80.3% | 0.37 | 0.09 | 5.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 42-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 42-day average