Trend-Following Backtester · Guide · backtest 한국어
equity · US
Opko Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Opko Health, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -49.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.9%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -82.2%, Sharpe 0.40, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 16.0%p (CAGR 6.0%, MDD -49.0%, exposure 8%).
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=61, slow=200 |
8.2% | -82.2% | 0.40 | 0.10 | 11.3x | 49 | 42% |
| ADX / DI 방향성 period=23, threshold=31 |
6.0% | -49.0% | 0.37 | 0.12 | 6.0x | 42 | 8% |
| Donchian 채널 돌파 entryN=147, exitN=8 |
6.7% | -70.4% | 0.37 | 0.09 | 7.3x | 53 | 10% |
| EMA 크로스오버 fast=33, slow=364 |
5.7% | -77.2% | 0.34 | 0.07 | 5.5x | 32 | 38% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-1.9% | -85.8% | 0.23 | -0.02 | 0.6x | 511 | 47% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=27, mult=4 |
2.3% | -74.1% | 0.21 | 0.03 | 2.0x | 49 | 7% |
| ROC 모멘텀 n=192, threshold=0.13 |
-0.6% | -95.6% | 0.19 | -0.01 | 0.8x | 234 | 35% |
| 볼린저 밴드 돌파 n=46, k=2.4 |
-0.5% | -95.3% | 0.17 | -0.01 | 0.9x | 110 | 22% |
| Supertrend period=18, mult=4 |
-6.5% | -96.5% | 0.13 | -0.07 | 0.1x | 113 | 49% |
| MACD fast=18, slow=24, signal=8 |
-12.6% | -99.5% | 0.05 | -0.13 | 0.0x | 573 | 50% |
| Buy and hold | -3.9% | -98.2% | 0.35 | -0.04 | 0.3x | 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 61-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 61-day average falls below the 200-day average