Trend-Following Backtester · Guide · backtest 한국어
equity · KR
올릭스 backtest
10 trend-following strategies were compared on the full daily history of 올릭스. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.8%, MDD -53.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.1%, drawdown -85.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 34.2%, MDD -58.4%, Sharpe 0.80, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 15.8%, MDD -53.4%, exposure 18%).
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=33, slow=209 |
34.2% | -58.4% | 0.80 | 0.59 | 10.9x | 10 | 45% |
| EMA 크로스오버 fast=55, slow=247 |
31.3% | -56.8% | 0.76 | 0.55 | 9.1x | 4 | 41% |
| ROC 모멘텀 n=131, threshold=0.13 |
23.9% | -69.0% | 0.66 | 0.35 | 5.7x | 54 | 36% |
| Donchian 채널 돌파 entryN=7, exitN=64 |
23.6% | -69.5% | 0.65 | 0.34 | 5.6x | 27 | 83% |
| Parabolic SAR step=0.05, maxStep=0.08 |
21.7% | -75.6% | 0.62 | 0.29 | 4.9x | 168 | 45% |
| MACD fast=6, slow=41, signal=6 |
19.0% | -75.3% | 0.58 | 0.25 | 4.1x | 215 | 48% |
| ADX / DI 방향성 period=14, threshold=21 |
18.6% | -80.4% | 0.58 | 0.23 | 4.0x | 86 | 33% |
| Supertrend period=19, mult=3.4 |
17.9% | -72.3% | 0.57 | 0.25 | 3.8x | 40 | 53% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=3.2 |
15.8% | -53.4% | 0.56 | 0.30 | 3.3x | 14 | 18% |
| 볼린저 밴드 돌파 n=14, k=2.6 |
10.8% | -58.2% | 0.46 | 0.19 | 2.3x | 42 | 12% |
| Buy and hold | 15.1% | -85.0% | 0.56 | 0.18 | 3.1x | 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 33-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 33-day average falls below the 209-day average