Trend-Following Backtester · Guide · backtest 한국어
equity · US
Otis Worldwide Corporation backtest
10 trend-following strategies were compared on the full daily history of Otis Worldwide Corporation. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -34.6%).
Sharpe leader (same as main): Supertrend — CAGR 7.4%, MDD -33.7%, Sharpe 0.50, 54% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.3 |
7.4% | -33.7% | 0.50 | 0.22 | 1.6x | 20 | 54% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=17, mult=3.8 |
1.5% | -6.3% | 0.39 | 0.24 | 1.1x | 4 | 7% |
| Donchian 채널 돌파 entryN=23, exitN=68 |
5.8% | -31.0% | 0.39 | 0.19 | 1.4x | 12 | 72% |
| 볼린저 밴드 돌파 n=42, k=2.6 |
3.5% | -19.5% | 0.38 | 0.18 | 1.2x | 10 | 20% |
| SMA 크로스오버 fast=75, slow=189 |
3.9% | -18.1% | 0.35 | 0.22 | 1.3x | 8 | 47% |
| ADX / DI 방향성 period=36, threshold=19 |
1.6% | -14.9% | 0.25 | 0.11 | 1.1x | 10 | 12% |
| EMA 크로스오버 fast=57, slow=155 |
1.8% | -28.6% | 0.19 | 0.06 | 1.1x | 10 | 55% |
| ROC 모멘텀 n=147, threshold=-0.03 |
0.5% | -36.8% | 0.11 | 0.01 | 1.0x | 36 | 57% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.8% | -40.3% | -0.15 | -0.12 | 0.7x | 64 | 52% |
| MACD fast=16, slow=27, signal=19 |
-7.4% | -50.4% | -0.38 | -0.15 | 0.6x | 92 | 51% |
| Buy and hold | 7.2% | -34.6% | 0.40 | 0.21 | 1.6x | 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) — 15-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)