Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oil-Dri Corporation Of America backtest
10 trend-following strategies were compared on the full daily history of Oil-Dri Corporation Of America. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -76.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.7%, MDD -51.6%, Sharpe 0.42, 30% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.6%, MDD -72.0%, exposure 59%.
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=40, threshold=17 |
7.7% | -51.6% | 0.42 | 0.15 | 31.1x | 101 | 30% |
| SMA 크로스오버 fast=30, slow=347 |
8.6% | -72.0% | 0.41 | 0.12 | 45.0x | 61 | 59% |
| Donchian 채널 돌파 entryN=8, exitN=57 |
8.1% | -71.8% | 0.39 | 0.11 | 37.5x | 219 | 83% |
| EMA 크로스오버 fast=58, slow=149 |
6.0% | -79.3% | 0.34 | 0.08 | 15.1x | 81 | 59% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.7% | -76.5% | 0.32 | 0.07 | 12.8x | 336 | 52% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
4.6% | -49.0% | 0.31 | 0.09 | 7.9x | 47 | 13% |
| Supertrend period=15, mult=3 |
3.9% | -87.2% | 0.27 | 0.04 | 5.9x | 338 | 55% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=3 |
1.0% | -86.7% | 0.15 | 0.01 | 1.6x | 167 | 30% |
| MACD fast=19, slow=59, signal=19 |
0.3% | -89.4% | 0.15 | 0.00 | 1.1x | 464 | 50% |
| ROC 모멘텀 n=122, threshold=-0.03 |
-1.8% | -99.3% | 0.09 | -0.02 | 0.4x | 507 | 64% |
| Buy and hold | 10.8% | -76.2% | 0.45 | 0.14 | 117.0x | 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, 40-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)