Trend-Following Backtester · Guide · backtest 한국어
equity · CH
OC Oerlikon Corporation AG backtest
10 trend-following strategies were compared on the full daily history of OC Oerlikon Corporation AG. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.8%, MDD -32.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.7%, drawdown -97.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.8%, MDD -62.2%, Sharpe 0.28, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 4.8%, MDD -32.5%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=35, exitN=16 |
5.8% | -62.2% | 0.28 | 0.09 | 4.3x | 93 | 48% |
| ROC 모멘텀 n=135, threshold=0.11 |
2.9% | -56.6% | 0.25 | 0.05 | 2.1x | 81 | 23% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=3.2 |
4.8% | -32.5% | 0.25 | 0.15 | 3.4x | 53 | 27% |
| 볼린저 밴드 돌파 n=35, k=1.5 |
2.2% | -66.8% | 0.21 | 0.03 | 1.7x | 133 | 26% |
| ADX / DI 방향성 period=25, threshold=22 |
1.3% | -44.5% | 0.16 | 0.03 | 1.4x | 61 | 12% |
| MACD fast=19, slow=30, signal=15 |
0.7% | -86.2% | 0.16 | 0.01 | 1.2x | 239 | 62% |
| Supertrend period=14, mult=3.5 |
1.1% | -81.9% | 0.16 | 0.01 | 1.3x | 121 | 36% |
| EMA 크로스오버 fast=36, slow=84 |
0.3% | -74.2% | 0.13 | 0.00 | 1.1x | 47 | 38% |
| SMA 크로스오버 fast=11, slow=199 |
0.1% | -63.5% | 0.10 | 0.00 | 1.0x | 41 | 32% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-3.2% | -73.9% | -0.01 | -0.04 | 0.4x | 462 | 38% |
| Buy and hold | -8.7% | -97.5% | 0.00 | -0.09 | 0.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 35 days
- Sell — Sell when price breaks below the lowest low of the last 16 days