Trend-Following Backtester · Guide · backtest 한국어
equity · US
OppFi Inc. backtest
10 trend-following strategies were compared on the full daily history of OppFi Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.5%, MDD -27.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.0%, drawdown -84.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.7%, MDD -54.0%, Sharpe 0.85, 32% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 32.7%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 9.5%, MDD -27.1%, exposure 11%).
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=58, slow=162 |
31.7% | -54.0% | 0.85 | 0.59 | 4.8x | 4 | 32% |
| EMA 크로스오버 fast=59, slow=143 |
20.9% | -54.2% | 0.65 | 0.39 | 3.0x | 6 | 37% |
| Donchian 채널 돌파 entryN=116, exitN=61 |
19.3% | -57.0% | 0.63 | 0.34 | 2.7x | 4 | 32% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=12, mult=4 |
12.3% | -29.5% | 0.61 | 0.42 | 1.9x | 6 | 7% |
| 볼린저 밴드 돌파 n=25, k=3 |
9.5% | -27.1% | 0.53 | 0.35 | 1.7x | 16 | 11% |
| ROC 모멘텀 n=112, threshold=0.08 |
14.0% | -57.4% | 0.52 | 0.24 | 2.1x | 34 | 30% |
| Supertrend period=20, mult=4.3 |
8.8% | -53.9% | 0.41 | 0.16 | 1.6x | 21 | 37% |
| Parabolic SAR step=0.02, maxStep=0.3 |
5.4% | -64.1% | 0.34 | 0.08 | 1.3x | 121 | 48% |
| MACD fast=10, slow=24, signal=6 |
4.6% | -68.3% | 0.32 | 0.07 | 1.3x | 131 | 50% |
| ADX / DI 방향성 period=23, threshold=25 |
4.7% | -36.3% | 0.31 | 0.13 | 1.3x | 14 | 10% |
| Buy and hold | -1.0% | -84.6% | 0.30 | -0.01 | 0.9x | 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 58-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 58-day average falls below the 162-day average