Trend-Following Backtester · Guide · backtest 한국어
equity · US
OFG Bancorp backtest
10 trend-following strategies were compared on the full daily history of OFG Bancorp. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -58.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.9%, drawdown -96.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -58.6%, Sharpe 0.54, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 12.7%, MDD -58.6%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=78 |
12.7% | -58.6% | 0.54 | 0.22 | 108.8x | 129 | 57% |
| Donchian 채널 돌파 entryN=70, exitN=78 |
11.2% | -66.5% | 0.50 | 0.17 | 66.1x | 59 | 62% |
| EMA 크로스오버 fast=37, slow=191 |
10.6% | -80.6% | 0.49 | 0.13 | 52.1x | 59 | 61% |
| 볼린저 밴드 돌파 n=71, k=3.2 |
5.2% | -48.4% | 0.40 | 0.11 | 7.4x | 50 | 20% |
| ROC 모멘텀 n=143, threshold=-0.05 |
6.9% | -85.9% | 0.37 | 0.08 | 14.0x | 275 | 67% |
| Supertrend period=28, mult=5 |
6.5% | -68.1% | 0.36 | 0.09 | 11.8x | 153 | 54% |
| ADX / DI 방향성 period=39, threshold=25 |
2.6% | -37.2% | 0.28 | 0.07 | 2.7x | 41 | 9% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.0% | -72.0% | 0.28 | 0.06 | 4.7x | 313 | 55% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=15, mult=3.5 |
1.7% | -69.7% | 0.19 | 0.03 | 2.0x | 133 | 23% |
| MACD fast=24, slow=57, signal=21 |
-0.7% | -89.3% | 0.14 | -0.01 | 0.8x | 385 | 51% |
| Buy and hold | 9.9% | -96.9% | 0.44 | 0.10 | 41.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 43-day average price crosses above the 78-day average
- Sell — Sell (to cash) when the 43-day average falls below the 78-day average