Trend-Following Backtester · Guide · backtest 한국어
equity · KR
OCI홀딩스 backtest
10 trend-following strategies were compared on the full daily history of OCI홀딩스. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.0%, MDD -59.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.0%, drawdown -95.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.6%, MDD -70.7%, Sharpe 0.64, 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 12.0%, 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 |
19.6% | -70.7% | 0.64 | 0.28 | 118.2x | 45 | 52% |
| EMA 크로스오버 fast=15, slow=181 |
18.2% | -72.3% | 0.61 | 0.25 | 87.2x | 51 | 52% |
| ROC 모멘텀 n=136, threshold=0.11 |
13.8% | -71.6% | 0.52 | 0.19 | 31.3x | 193 | 45% |
| 볼린저 밴드 돌파 n=52, k=2 |
12.0% | -59.8% | 0.51 | 0.20 | 20.7x | 104 | 32% |
| Supertrend period=24, mult=4.4 |
11.8% | -64.6% | 0.48 | 0.18 | 19.7x | 98 | 46% |
| ADX / DI 방향성 period=36, threshold=8 |
11.9% | -72.3% | 0.48 | 0.16 | 20.0x | 275 | 56% |
| MACD fast=8, slow=28, signal=9 |
9.8% | -77.6% | 0.43 | 0.13 | 11.9x | 536 | 52% |
| Donchian 채널 돌파 entryN=69, exitN=71 |
9.4% | -86.2% | 0.42 | 0.11 | 11.0x | 48 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=2.4 |
7.9% | -72.3% | 0.39 | 0.11 | 7.6x | 118 | 32% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.1% | -76.8% | 0.27 | 0.04 | 2.3x | 345 | 50% |
| Buy and hold | 13.0% | -95.8% | 0.50 | 0.14 | 25.8x | 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