Trend-Following Backtester · Guide · backtest 한국어
equity · KR
OCI홀딩스 backtest
10 trend-following strategies were compared on the full daily history of OCI홀딩스. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.1%, MDD -59.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.4%, drawdown -95.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.0%, MDD -70.7%, Sharpe 0.61, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 12.1%, MDD -59.8%, exposure 32%).
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=35, slow=191 |
18.0% | -70.7% | 0.61 | 0.25 | 81.1x | 45 | 52% |
| EMA 크로스오버 fast=15, slow=181 |
17.4% | -72.3% | 0.60 | 0.24 | 71.0x | 50 | 51% |
| 볼린저 밴드 돌파 n=52, k=2 |
12.1% | -59.8% | 0.51 | 0.20 | 20.7x | 104 | 32% |
| ROC 모멘텀 n=136, threshold=0.11 |
12.2% | -71.6% | 0.49 | 0.17 | 21.5x | 193 | 45% |
| Supertrend period=24, mult=4.4 |
11.9% | -64.6% | 0.48 | 0.18 | 19.7x | 98 | 47% |
| ADX / DI 방향성 period=36, threshold=8 |
10.5% | -72.3% | 0.45 | 0.15 | 14.3x | 274 | 55% |
| Donchian 채널 돌파 entryN=69, exitN=71 |
9.5% | -86.2% | 0.42 | 0.11 | 11.0x | 48 | 53% |
| MACD fast=8, slow=28, signal=9 |
8.4% | -77.6% | 0.40 | 0.11 | 8.6x | 534 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=2.4 |
7.9% | -72.3% | 0.39 | 0.11 | 7.6x | 118 | 33% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.1% | -75.1% | 0.27 | 0.04 | 2.2x | 344 | 50% |
| Buy and hold | 11.4% | -95.8% | 0.47 | 0.12 | 17.7x | 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 35-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 35-day average falls below the 191-day average