Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Oversea-Chinese Banking Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Oversea-Chinese Banking Corporation Limited. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -26.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -59.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -9.0%, Sharpe 0.56, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -26.7%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 50.3%p (CAGR 6.0%, MDD -26.7%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=46, threshold=23 |
2.7% | -9.0% | 0.56 | 0.29 | 2.0x | 11 | 6% |
| SMA 크로스오버 fast=78, slow=205 |
6.0% | -26.7% | 0.46 | 0.23 | 4.7x | 41 | 61% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=8, mult=3.3 |
4.0% | -25.8% | 0.39 | 0.15 | 2.8x | 73 | 36% |
| EMA 크로스오버 fast=46, slow=213 |
4.8% | -30.6% | 0.39 | 0.16 | 3.5x | 33 | 63% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
3.5% | -24.4% | 0.39 | 0.15 | 2.5x | 71 | 28% |
| Donchian 채널 돌파 entryN=47, exitN=78 |
4.4% | -43.9% | 0.35 | 0.10 | 3.1x | 53 | 68% |
| Supertrend period=22, mult=5 |
3.9% | -44.8% | 0.33 | 0.09 | 2.8x | 79 | 56% |
| ROC 모멘텀 n=81, threshold=-0.03 |
3.0% | -46.0% | 0.26 | 0.07 | 2.2x | 247 | 71% |
| MACD fast=18, slow=33, signal=16 |
-1.1% | -65.7% | 0.00 | -0.02 | 0.7x | 348 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-2.2% | -70.6% | -0.06 | -0.03 | 0.6x | 443 | 55% |
| Buy and hold | 5.4% | -59.3% | 0.35 | 0.09 | 4.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 46-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)