Trend-Following Backtester · Guide · backtest 한국어
equity · KR
오스코텍 backtest
10 trend-following strategies were compared on the full daily history of 오스코텍. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.0%, MDD -64.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.0%, drawdown -83.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -79.5%, Sharpe 0.55, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 3.9%p (CAGR 10.0%, MDD -64.4%, exposure 40%).
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=45, slow=51 |
15.8% | -79.5% | 0.55 | 0.20 | 17.5x | 170 | 51% |
| Donchian 채널 돌파 entryN=141, exitN=65 |
12.2% | -72.7% | 0.48 | 0.17 | 9.5x | 18 | 42% |
| ROC 모멘텀 n=142, threshold=0.12 |
10.0% | -64.4% | 0.44 | 0.15 | 6.4x | 132 | 40% |
| EMA 크로스오버 fast=26, slow=159 |
6.5% | -80.5% | 0.37 | 0.08 | 3.4x | 38 | 48% |
| Supertrend period=11, mult=4.9 |
2.2% | -83.0% | 0.31 | 0.03 | 1.5x | 50 | 66% |
| ADX / DI 방향성 period=25, threshold=23 |
4.4% | -60.1% | 0.29 | 0.07 | 2.3x | 54 | 23% |
| 볼린저 밴드 돌파 n=17, k=1.9 |
0.7% | -65.3% | 0.21 | 0.01 | 1.1x | 202 | 28% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=24, mult=3.4 |
-0.1% | -80.4% | 0.19 | -0.00 | 1.0x | 50 | 27% |
| MACD fast=17, slow=39, signal=18 |
-4.8% | -88.5% | 0.11 | -0.05 | 0.4x | 215 | 47% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-9.1% | -87.2% | 0.01 | -0.10 | 0.2x | 396 | 45% |
| Buy and hold | 8.0% | -83.5% | 0.44 | 0.10 | 4.5x | 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 45-day average price crosses above the 51-day average
- Sell — Sell (to cash) when the 45-day average falls below the 51-day average