Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Open Text Corporation backtest
10 trend-following strategies were compared on the full daily history of Open Text 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 9.4%, drawdown -72.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -64.7%, Sharpe 0.37, 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=58, slow=74 |
6.8% | -64.7% | 0.37 | 0.10 | 6.3x | 121 | 57% |
| Donchian 채널 돌파 entryN=15, exitN=52 |
6.1% | -86.6% | 0.34 | 0.07 | 5.3x | 99 | 76% |
| ROC 모멘텀 n=63, threshold=-0.07 |
5.8% | -79.0% | 0.34 | 0.07 | 4.9x | 251 | 73% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
3.9% | -32.6% | 0.33 | 0.12 | 2.9x | 36 | 8% |
| Supertrend period=10, mult=2 |
5.2% | -67.9% | 0.32 | 0.08 | 4.1x | 351 | 53% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=26, mult=3.6 |
2.5% | -21.1% | 0.28 | 0.12 | 2.0x | 28 | 3% |
| MACD fast=24, slow=57, signal=17 |
2.6% | -69.3% | 0.23 | 0.04 | 2.0x | 263 | 51% |
| EMA 크로스오버 fast=26, slow=75 |
1.1% | -90.7% | 0.19 | 0.01 | 1.4x | 89 | 61% |
| ADX / DI 방향성 period=22, threshold=7 |
0.3% | -79.9% | 0.15 | 0.00 | 1.1x | 461 | 55% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.7% | -89.1% | 0.09 | -0.02 | 0.6x | 245 | 55% |
| Buy and hold | 9.4% | -72.1% | 0.42 | 0.13 | 12.4x | 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 74-day average
- Sell — Sell (to cash) when the 58-day average falls below the 74-day average