Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oceaneering International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Oceaneering International, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.7%, MDD -47.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.7%, drawdown -97.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -73.2%, Sharpe 0.38, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 4.7%, MDD -47.3%, exposure 10%).
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=19, slow=392 |
7.5% | -73.2% | 0.38 | 0.10 | 40.0x | 67 | 52% |
| EMA 크로스오버 fast=64, slow=252 |
6.6% | -81.8% | 0.36 | 0.08 | 25.6x | 53 | 52% |
| ADX / DI 방향성 period=38, threshold=20 |
4.7% | -47.3% | 0.33 | 0.10 | 10.2x | 76 | 10% |
| Donchian 채널 돌파 entryN=32, exitN=73 |
3.5% | -97.2% | 0.30 | 0.04 | 5.8x | 129 | 67% |
| Parabolic SAR step=0.02, maxStep=0.22 |
1.9% | -96.6% | 0.24 | 0.02 | 2.6x | 1028 | 50% |
| 볼린저 밴드 돌파 n=54, k=1.6 |
1.3% | -88.0% | 0.20 | 0.01 | 1.9x | 263 | 38% |
| ROC 모멘텀 n=131, threshold=0.04 |
0.8% | -89.4% | 0.19 | 0.01 | 1.5x | 447 | 47% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=1.7 |
0.8% | -87.3% | 0.18 | 0.01 | 1.5x | 311 | 38% |
| Supertrend period=24, mult=2.8 |
-0.3% | -93.7% | 0.17 | -0.00 | 0.9x | 408 | 47% |
| MACD fast=18, slow=35, signal=12 |
-3.9% | -99.6% | 0.10 | -0.04 | 0.1x | 719 | 51% |
| Buy and hold | 5.7% | -97.6% | 0.39 | 0.06 | 16.3x | 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 19-day average price crosses above the 392-day average
- Sell — Sell (to cash) when the 19-day average falls below the 392-day average