Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bank OZK backtest
10 trend-following strategies were compared on the full daily history of Bank OZK. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 14.0%, drawdown -72.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.6%, MDD -65.8%, Sharpe 0.60, 84% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=68 |
14.6% | -65.8% | 0.60 | 0.22 | 52.6x | 77 | 84% |
| EMA 크로스오버 fast=48, slow=100 |
9.6% | -66.5% | 0.49 | 0.14 | 14.2x | 57 | 61% |
| Supertrend period=13, mult=3.9 |
7.8% | -62.7% | 0.44 | 0.12 | 8.9x | 123 | 56% |
| SMA 크로스오버 fast=52, slow=176 |
8.0% | -73.6% | 0.43 | 0.11 | 9.2x | 41 | 61% |
| Parabolic SAR step=0.005, maxStep=0.06 |
7.8% | -55.3% | 0.43 | 0.14 | 8.8x | 235 | 55% |
| 볼린저 밴드 돌파 n=30, k=1.5 |
6.7% | -61.7% | 0.41 | 0.11 | 6.6x | 242 | 43% |
| ADX / DI 방향성 period=35, threshold=15 |
4.9% | -44.0% | 0.36 | 0.11 | 4.1x | 122 | 29% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=36, mult=3 |
3.3% | -33.2% | 0.34 | 0.10 | 2.6x | 76 | 13% |
| MACD fast=24, slow=36, signal=30 |
5.3% | -65.0% | 0.33 | 0.08 | 4.5x | 252 | 53% |
| ROC 모멘텀 n=134, threshold=0.13 |
4.3% | -56.8% | 0.31 | 0.08 | 3.4x | 256 | 40% |
| Buy and hold | 14.0% | -72.5% | 0.54 | 0.19 | 44.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 68 days