Trend-Following Backtester · Guide · backtest 한국어
equity · US
Olin Corporation backtest
10 trend-following strategies were compared on the full daily history of Olin Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.8%, drawdown -75.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.0%, MDD -80.3%, Sharpe 0.24, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, slow=212 |
3.0% | -80.3% | 0.24 | 0.04 | 4.8x | 80 | 57% |
| Donchian 채널 돌파 entryN=16, exitN=79 |
2.1% | -78.6% | 0.22 | 0.03 | 3.1x | 155 | 80% |
| 볼린저 밴드 돌파 n=16, k=2.7 |
2.0% | -58.2% | 0.22 | 0.03 | 2.8x | 188 | 11% |
| ADX / DI 방향성 period=36, threshold=26 |
1.1% | -48.4% | 0.19 | 0.02 | 1.8x | 36 | 4% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=3.4 |
1.3% | -48.3% | 0.17 | 0.03 | 2.0x | 118 | 9% |
| ROC 모멘텀 n=128, threshold=-0.04 |
-0.4% | -82.8% | 0.12 | -0.01 | 0.8x | 460 | 64% |
| EMA 크로스오버 fast=39, slow=130 |
-0.7% | -82.0% | 0.10 | -0.01 | 0.7x | 126 | 56% |
| Supertrend period=14, mult=5 |
-1.3% | -89.5% | 0.07 | -0.01 | 0.5x | 224 | 51% |
| MACD fast=14, slow=35, signal=14 |
-2.0% | -86.9% | 0.05 | -0.02 | 0.3x | 785 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.6% | -92.1% | 0.03 | -0.03 | 0.2x | 447 | 51% |
| Buy and hold | 3.8% | -75.8% | 0.29 | 0.05 | 7.5x | 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 57-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 57-day average falls below the 212-day average