Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Osotspa Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Osotspa Public Co. Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -4.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.7%, drawdown -72.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -5.8%, Sharpe 0.39, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.6%, MDD -36.7%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 66.2%p (CAGR 0.3%, MDD -4.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=2.9 |
1.9% | -5.8% | 0.39 | 0.33 | 1.2x | 6 | 3% |
| SMA 크로스오버 fast=53, slow=72 |
2.6% | -36.7% | 0.23 | 0.07 | 1.2x | 30 | 46% |
| ADX / DI 방향성 period=38, threshold=22 |
0.3% | -4.8% | 0.11 | 0.07 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=17, mult=3.6 |
0.4% | -8.6% | 0.09 | 0.05 | 1.0x | 6 | 5% |
| Supertrend period=16, mult=4.9 |
-0.3% | -51.7% | 0.07 | -0.01 | 1.0x | 18 | 40% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.7% | -68.6% | -0.01 | -0.04 | 0.8x | 50 | 57% |
| Donchian 채널 돌파 entryN=116, exitN=31 |
-1.1% | -35.4% | -0.03 | -0.03 | 0.9x | 12 | 19% |
| MACD fast=17, slow=42, signal=14 |
-3.7% | -68.9% | -0.09 | -0.05 | 0.7x | 94 | 52% |
| ROC 모멘텀 n=84, threshold=0.04 |
-3.2% | -54.6% | -0.11 | -0.06 | 0.8x | 73 | 35% |
| EMA 크로스오버 fast=28, slow=43 |
-3.9% | -60.5% | -0.12 | -0.06 | 0.7x | 32 | 42% |
| Buy and hold | -6.7% | -72.1% | -0.07 | -0.09 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 13-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 13-day middle average