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.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.4%, MDD -58.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.6%, drawdown -97.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -68.1%, Sharpe 0.42, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 5.4%, MDD -58.2%, exposure 32%).
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=21, exitN=15 |
8.9% | -68.1% | 0.42 | 0.13 | 8.9x | 152 | 47% |
| Supertrend period=8, mult=4.1 |
8.7% | -71.7% | 0.42 | 0.12 | 8.5x | 107 | 49% |
| 볼린저 밴드 돌파 n=28, k=1.8 |
6.2% | -62.8% | 0.35 | 0.10 | 4.7x | 196 | 35% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=9, mult=1.6 |
5.4% | -58.2% | 0.33 | 0.09 | 3.8x | 204 | 32% |
| SMA 크로스오버 fast=10, slow=38 |
4.8% | -79.9% | 0.31 | 0.06 | 3.3x | 198 | 53% |
| EMA 크로스오버 fast=12, slow=16 |
4.4% | -80.9% | 0.30 | 0.05 | 3.0x | 262 | 53% |
| MACD fast=14, slow=50, signal=13 |
3.9% | -79.9% | 0.29 | 0.05 | 2.7x | 352 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
3.6% | -76.2% | 0.28 | 0.05 | 2.5x | 220 | 51% |
| ROC 모멘텀 n=48, threshold=0 |
1.6% | -71.6% | 0.22 | 0.02 | 1.5x | 356 | 53% |
| ADX / DI 방향성 period=20, threshold=11 |
1.1% | -77.8% | 0.20 | 0.01 | 1.3x | 428 | 49% |
| Buy and hold | 1.6% | -97.4% | 0.30 | 0.02 | 1.5x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 15 days