Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oculis Holding AG backtest
10 trend-following strategies were compared on the full daily history of Oculis Holding AG. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 15.0%, MDD -30.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.9%, drawdown -67.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 15.0%, MDD -30.1%, Sharpe 0.62, 48% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 15.0%, MDD -30.1%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.28 |
15.0% | -30.1% | 0.62 | 0.50 | 2.1x | 92 | 48% |
| ADX / DI 방향성 period=27, threshold=23 |
13.0% | -40.3% | 0.57 | 0.32 | 1.9x | 10 | 30% |
| Donchian 채널 돌파 Hold-like · Exposure 97% entryN=1, exitN=77 |
12.5% | -35.7% | 0.50 | 0.35 | 1.8x | 15 | 97% |
| SMA 크로스오버 fast=8, slow=30 |
10.7% | -42.5% | 0.48 | 0.25 | 1.7x | 40 | 59% |
| Supertrend period=12, mult=2.6 |
8.9% | -33.8% | 0.44 | 0.26 | 1.6x | 54 | 46% |
| EMA 크로스오버 fast=8, slow=32 |
7.3% | -30.8% | 0.38 | 0.24 | 1.4x | 46 | 59% |
| MACD fast=7, slow=36, signal=23 |
5.9% | -40.8% | 0.34 | 0.14 | 1.3x | 81 | 51% |
| 볼린저 밴드 돌파 n=18, k=1.6 |
5.6% | -42.6% | 0.34 | 0.13 | 1.3x | 66 | 39% |
| ROC 모멘텀 n=91, threshold=-0.03 |
0.7% | -40.5% | 0.20 | 0.02 | 1.0x | 48 | 72% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=3.5 |
1.5% | -12.9% | 0.19 | 0.12 | 1.1x | 20 | 11% |
| Buy and hold | 2.9% | -67.2% | 0.30 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots