Trend-Following Backtester · Guide · backtest 한국어
equity · US
OGE Energy Corp backtest
10 trend-following strategies were compared on the full daily history of OGE Energy Corp. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.3%, MDD -30.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.8%, drawdown -57.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -30.6%, Sharpe 0.33, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 27.2%p (CAGR 3.3%, MDD -30.6%, exposure 51%).
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=177, exitN=114 |
3.3% | -30.6% | 0.33 | 0.11 | 5.7x | 43 | 51% |
| EMA 크로스오버 fast=53, slow=206 |
2.1% | -49.9% | 0.22 | 0.04 | 3.1x | 69 | 60% |
| SMA 크로스오버 fast=45, slow=211 |
2.1% | -62.9% | 0.22 | 0.03 | 3.0x | 81 | 61% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
0.2% | -4.7% | 0.13 | 0.04 | 1.1x | 10 | 1% |
| ROC 모멘텀 n=138, threshold=-0.03 |
0.1% | -69.7% | 0.08 | 0.00 | 1.1x | 455 | 69% |
| ADX / DI 방향성 period=39, threshold=19 |
-0.0% | -29.1% | 0.03 | -0.00 | 1.0x | 88 | 12% |
| Supertrend period=12, mult=2.9 |
-1.6% | -71.3% | -0.04 | -0.02 | 0.4x | 390 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.9% | -80.9% | -0.13 | -0.04 | 0.2x | 440 | 54% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=13, mult=2.9 |
-1.7% | -59.5% | -0.14 | -0.03 | 0.4x | 204 | 28% |
| MACD fast=19, slow=48, signal=19 |
-4.1% | -90.7% | -0.21 | -0.05 | 0.1x | 592 | 51% |
| Buy and hold | 3.8% | -57.8% | 0.28 | 0.07 | 7.2x | 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 177 days
- Sell — Sell when price breaks below the lowest low of the last 114 days