Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oxford Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Oxford Industries, Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.6%, MDD -59.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -94.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.6%, MDD -59.4%, Sharpe 0.43, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 8.6%, MDD -59.4%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=138 |
8.6% | -59.4% | 0.43 | 0.14 | 45.4x | 70 | 55% |
| Donchian 채널 돌파 entryN=69, exitN=64 |
7.8% | -69.4% | 0.42 | 0.11 | 33.2x | 85 | 52% |
| ADX / DI 방향성 period=34, threshold=18 |
5.7% | -58.1% | 0.40 | 0.10 | 13.4x | 174 | 25% |
| SMA 크로스오버 fast=59, slow=238 |
7.4% | -67.5% | 0.39 | 0.11 | 27.2x | 55 | 54% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=9, mult=3.2 |
5.0% | -66.6% | 0.38 | 0.08 | 9.8x | 170 | 23% |
| 볼린저 밴드 돌파 n=49, k=2.8 |
3.4% | -54.3% | 0.30 | 0.06 | 4.8x | 90 | 17% |
| Supertrend period=25, mult=4.7 |
3.9% | -83.6% | 0.28 | 0.05 | 6.0x | 218 | 54% |
| ROC 모멘텀 n=125, threshold=0.14 |
3.4% | -71.3% | 0.26 | 0.05 | 4.7x | 404 | 35% |
| Parabolic SAR step=0.025, maxStep=0.2 |
1.3% | -90.3% | 0.18 | 0.01 | 1.8x | 1000 | 51% |
| MACD fast=14, slow=46, signal=17 |
-0.6% | -92.8% | 0.13 | -0.01 | 0.7x | 579 | 52% |
| Buy and hold | 7.6% | -94.1% | 0.38 | 0.08 | 30.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 138-day EMA
- Sell — Sell when the 57-day EMA falls below the 138-day EMA