Trend-Following Backtester · Guide · backtest 한국어
equity · US
OceanFirst Financial Corp. backtest
10 trend-following strategies were compared on the full daily history of OceanFirst Financial Corp.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.4%, drawdown -74.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.5%, MDD -17.5%, Sharpe 0.31, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.4%, MDD -75.0%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=3.3 |
1.5% | -17.5% | 0.31 | 0.09 | 1.6x | 24 | 4% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
3.4% | -75.0% | 0.27 | 0.05 | 2.7x | 5 | 100% |
| ADX / DI 방향성 period=17, threshold=36 |
1.5% | -20.1% | 0.25 | 0.07 | 1.6x | 48 | 8% |
| Donchian 채널 돌파 entryN=7, exitN=53 |
0.7% | -82.9% | 0.17 | 0.01 | 1.2x | 117 | 86% |
| SMA 크로스오버 fast=56, slow=86 |
0.1% | -62.7% | 0.11 | 0.00 | 1.0x | 117 | 55% |
| Supertrend period=23, mult=3.6 |
-0.7% | -70.2% | 0.09 | -0.01 | 0.8x | 137 | 59% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
0.1% | -41.0% | 0.05 | 0.00 | 1.0x | 24 | 5% |
| EMA 크로스오버 fast=61, slow=179 |
-1.4% | -73.3% | 0.04 | -0.02 | 0.7x | 47 | 59% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-3.2% | -92.9% | -0.03 | -0.03 | 0.4x | 502 | 53% |
| MACD fast=21, slow=36, signal=18 |
-4.7% | -84.8% | -0.09 | -0.06 | 0.2x | 355 | 50% |
| Buy and hold | 3.4% | -74.0% | 0.27 | 0.05 | 2.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average