Trend-Following Backtester · Guide · backtest 한국어
equity · US
Park-Ohio Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of Park-Ohio Holdings Corp.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 4.1%, drawdown -94.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.6%, MDD -22.1%, Sharpe 0.46, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, MDD -80.5%, exposure 52%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=82, threshold=38 |
2.6% | -22.1% | 0.46 | 0.12 | 3.9x | 2 | 7% |
| SMA 크로스오버 fast=40, slow=313 |
7.2% | -80.5% | 0.38 | 0.09 | 41.7x | 61 | 52% |
| Donchian 채널 돌파 entryN=117, exitN=79 |
5.3% | -83.1% | 0.32 | 0.06 | 15.9x | 61 | 42% |
| EMA 크로스오버 fast=55, slow=218 |
4.4% | -88.2% | 0.29 | 0.05 | 9.9x | 69 | 50% |
| Parabolic SAR step=0.035, maxStep=0.26 |
3.8% | -88.1% | 0.29 | 0.04 | 7.4x | 1313 | 51% |
| 볼린저 밴드 돌파 n=33, k=1.7 |
3.0% | -93.6% | 0.25 | 0.03 | 5.0x | 371 | 34% |
| ROC 모멘텀 n=147, threshold=-0.05 |
1.5% | -94.4% | 0.22 | 0.02 | 2.3x | 449 | 60% |
| Supertrend period=5, mult=2.4 |
0.4% | -97.0% | 0.19 | 0.00 | 1.2x | 433 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=20, mult=1.1 |
0.6% | -94.8% | 0.17 | 0.01 | 1.3x | 423 | 39% |
| MACD fast=13, slow=32, signal=10 |
-2.4% | -99.6% | 0.13 | -0.02 | 0.3x | 896 | 50% |
| Buy and hold | 4.1% | -94.2% | 0.35 | 0.04 | 8.5x | 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, 82-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)