Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oportun Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Oportun Financial Corporation. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.7%, MDD -20.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.5%, drawdown -92.3%).
Sharpe leader (same as main): MACD — CAGR 21.1%, MDD -81.8%, Sharpe 0.62, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 35.7%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 3.7%, MDD -20.6%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=50, signal=11 |
21.1% | -81.8% | 0.62 | 0.26 | 3.7x | 96 | 49% |
| ROC 모멘텀 n=20, threshold=0.13 |
15.1% | -45.5% | 0.55 | 0.33 | 2.6x | 114 | 25% |
| Parabolic SAR step=0.01, maxStep=0.3 |
14.9% | -75.9% | 0.52 | 0.20 | 2.6x | 92 | 48% |
| Supertrend period=29, mult=2.3 |
13.6% | -60.4% | 0.51 | 0.23 | 2.4x | 56 | 46% |
| SMA 크로스오버 fast=9, slow=209 |
12.8% | -52.8% | 0.50 | 0.24 | 2.3x | 9 | 38% |
| Donchian 채널 돌파 entryN=15, exitN=8 |
10.6% | -64.9% | 0.44 | 0.16 | 2.0x | 62 | 36% |
| 볼린저 밴드 돌파 n=19, k=1.4 |
8.4% | -59.7% | 0.40 | 0.14 | 1.7x | 88 | 35% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=4 |
3.7% | -20.6% | 0.39 | 0.18 | 1.3x | 2 | 1% |
| EMA 크로스오버 fast=37, slow=197 |
3.0% | -55.6% | 0.26 | 0.05 | 1.2x | 11 | 36% |
| ADX / DI 방향성 period=15, threshold=11 |
-0.0% | -72.3% | 0.24 | -0.00 | 1.0x | 131 | 49% |
| Buy and hold | -14.5% | -92.3% | 0.19 | -0.16 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/50) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line