Trend-Following Backtester · Guide · backtest 한국어
equity · US
One Stop Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of One Stop Systems, Inc.. 8 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 11.5%, MDD -35.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.4%, drawdown -83.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.9%, MDD -46.5%, Sharpe 0.59, 24% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 11.5%, MDD -35.8%, exposure 10%).
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=36, k=2.5 |
18.9% | -46.5% | 0.59 | 0.41 | 4.3x | 38 | 24% |
| ROC 모멘텀 n=119, threshold=-0.04 |
16.9% | -76.8% | 0.55 | 0.22 | 3.8x | 65 | 47% |
| SMA 크로스오버 fast=50, slow=126 |
16.5% | -63.0% | 0.54 | 0.26 | 3.7x | 13 | 38% |
| Supertrend period=17, mult=3.7 |
16.3% | -73.0% | 0.54 | 0.22 | 3.6x | 26 | 46% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=2.8 |
15.6% | -38.5% | 0.53 | 0.41 | 3.4x | 22 | 20% |
| Donchian 채널 돌파 entryN=48, exitN=10 |
15.4% | -38.7% | 0.53 | 0.40 | 3.4x | 24 | 20% |
| MACD fast=16, slow=41, signal=19 |
12.7% | -74.9% | 0.49 | 0.17 | 2.8x | 90 | 53% |
| ADX / DI 방향성 period=14, threshold=39 |
11.5% | -35.8% | 0.48 | 0.32 | 2.5x | 26 | 10% |
| EMA 크로스오버 fast=12, slow=198 |
10.9% | -79.2% | 0.46 | 0.14 | 2.4x | 19 | 40% |
| Parabolic SAR step=0.05, maxStep=0.36 |
-5.0% | -86.1% | 0.20 | -0.06 | 0.6x | 292 | 47% |
| Buy and hold | 11.4% | -83.6% | 0.53 | 0.14 | 2.5x | 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 36-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 36-day middle average