Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oil States International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Oil States International, Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -59.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.7%, drawdown -97.4%).
Sharpe leader (same as main): Supertrend — CAGR 9.3%, MDD -66.3%, Sharpe 0.43, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 6.2%, MDD -59.0%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.7 |
9.3% | -66.3% | 0.43 | 0.14 | 9.5x | 124 | 50% |
| Donchian 채널 돌파 entryN=22, exitN=13 |
8.7% | -62.9% | 0.42 | 0.14 | 8.3x | 160 | 44% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=14, mult=1.6 |
7.4% | -63.9% | 0.39 | 0.12 | 6.2x | 160 | 37% |
| 볼린저 밴드 돌파 n=33, k=1.1 |
6.2% | -59.0% | 0.35 | 0.11 | 4.6x | 242 | 43% |
| MACD fast=15, slow=46, signal=13 |
3.8% | -79.7% | 0.29 | 0.05 | 2.6x | 349 | 52% |
| Parabolic SAR step=0.01, maxStep=0.22 |
3.8% | -78.8% | 0.28 | 0.05 | 2.6x | 358 | 52% |
| ROC 모멘텀 n=50, threshold=-0.01 |
3.4% | -81.4% | 0.27 | 0.04 | 2.3x | 374 | 56% |
| EMA 크로스오버 fast=8, slow=16 |
2.8% | -78.7% | 0.26 | 0.04 | 2.0x | 332 | 54% |
| ADX / DI 방향성 period=20, threshold=11 |
1.6% | -77.8% | 0.22 | 0.02 | 1.5x | 420 | 49% |
| SMA 크로스오버 fast=39, slow=174 |
1.6% | -87.5% | 0.22 | 0.02 | 1.5x | 48 | 57% |
| Buy and hold | 1.7% | -97.4% | 0.31 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)