Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ouster, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ouster, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.4%, MDD -63.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.6%, drawdown -98.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 32.9%, MDD -70.0%, Sharpe 0.74, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.5%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 18.4%, MDD -63.3%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=8, threshold=20 |
32.9% | -70.0% | 0.74 | 0.47 | 5.2x | 130 | 46% |
| Supertrend period=24, mult=1.9 |
28.8% | -77.3% | 0.70 | 0.37 | 4.3x | 78 | 36% |
| Parabolic SAR step=0.015, maxStep=0.12 |
29.1% | -84.1% | 0.70 | 0.35 | 4.4x | 96 | 42% |
| 볼린저 밴드 돌파 n=11, k=1.1 |
27.6% | -64.2% | 0.69 | 0.43 | 4.1x | 110 | 34% |
| MACD fast=22, slow=47, signal=27 |
22.3% | -69.0% | 0.63 | 0.32 | 3.2x | 40 | 50% |
| ROC 모멘텀 n=126, threshold=-0.03 |
22.3% | -78.2% | 0.62 | 0.29 | 3.2x | 45 | 37% |
| Donchian 채널 돌파 entryN=6, exitN=33 |
16.8% | -84.5% | 0.59 | 0.20 | 2.5x | 36 | 71% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=10, mult=2 |
18.4% | -63.3% | 0.57 | 0.29 | 2.7x | 28 | 29% |
| SMA 크로스오버 fast=15, slow=212 |
6.0% | -64.9% | 0.38 | 0.09 | 1.4x | 11 | 31% |
| EMA 크로스오버 fast=59, slow=203 |
4.3% | -75.9% | 0.36 | 0.06 | 1.3x | 9 | 31% |
| Buy and hold | -14.6% | -98.0% | 0.31 | -0.15 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 8-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)