Trend-Following Backtester · Guide · backtest 한국어
equity · US
Otter Tail Corporation backtest
10 trend-following strategies were compared on the full daily history of Otter Tail Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.4%, drawdown -66.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.5%, MDD -61.4%, Sharpe 0.18, 88% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=176, threshold=-0.1 |
1.5% | -61.4% | 0.18 | 0.02 | 2.2x | 213 | 88% |
| EMA 크로스오버 fast=61, slow=238 |
0.8% | -59.3% | 0.14 | 0.01 | 1.6x | 69 | 64% |
| Donchian 채널 돌파 entryN=83, exitN=99 |
0.2% | -64.0% | 0.10 | 0.00 | 1.1x | 69 | 57% |
| SMA 크로스오버 fast=59, slow=96 |
-0.1% | -62.7% | 0.10 | -0.00 | 1.0x | 187 | 57% |
| Supertrend period=12, mult=4.5 |
-1.6% | -82.6% | 0.01 | -0.02 | 0.4x | 153 | 61% |
| ADX / DI 방향성 period=37, threshold=21 |
-0.9% | -45.3% | -0.06 | -0.02 | 0.6x | 106 | 16% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
-0.9% | -45.3% | -0.12 | -0.02 | 0.6x | 48 | 6% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=29, mult=4 |
-1.7% | -69.9% | -0.16 | -0.02 | 0.4x | 72 | 10% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.5% | -95.8% | -0.21 | -0.06 | 0.0x | 439 | 55% |
| MACD fast=20, slow=61, signal=36 |
-5.7% | -96.3% | -0.22 | -0.06 | 0.0x | 469 | 51% |
| Buy and hold | 5.4% | -66.7% | 0.33 | 0.08 | 16.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 176-day return is greater than -10%
- Sell — Sell when the 176-day return drops to -10% or below