Trend-Following Backtester · Guide · backtest 한국어
equity · FR
OPmobility backtest
10 trend-following strategies were compared on the full daily history of OPmobility. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.3%, MDD -52.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.3%, drawdown -89.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.3%, MDD -52.9%, Sharpe 0.60, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.9%, MDD -70.3%, exposure 81%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 13.3%, MDD -52.9%, exposure 60%).
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=38, slow=138 |
13.3% | -52.9% | 0.60 | 0.25 | 24.4x | 42 | 60% |
| Donchian 채널 돌파 entryN=20, exitN=89 |
14.9% | -70.3% | 0.59 | 0.21 | 35.0x | 48 | 81% |
| SMA 크로스오버 fast=59, slow=211 |
13.1% | -59.1% | 0.59 | 0.22 | 23.6x | 26 | 61% |
| ROC 모멘텀 n=132, threshold=0.02 |
12.4% | -75.3% | 0.58 | 0.17 | 20.2x | 180 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=2.7 |
7.8% | -57.0% | 0.46 | 0.14 | 6.9x | 100 | 37% |
| Supertrend period=17, mult=4.1 |
8.4% | -60.3% | 0.44 | 0.14 | 8.0x | 110 | 53% |
| ADX / DI 방향성 period=37, threshold=31 |
2.6% | -16.5% | 0.44 | 0.16 | 1.9x | 8 | 3% |
| 볼린저 밴드 돌파 n=54, k=1.6 |
4.9% | -68.7% | 0.32 | 0.07 | 3.4x | 132 | 40% |
| Parabolic SAR step=0.01, maxStep=0.2 |
3.0% | -67.7% | 0.24 | 0.04 | 2.1x | 328 | 53% |
| MACD fast=17, slow=52, signal=21 |
0.8% | -75.9% | 0.16 | 0.01 | 1.2x | 268 | 51% |
| Buy and hold | 7.3% | -89.7% | 0.37 | 0.08 | 6.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 138-day EMA
- Sell — Sell when the 38-day EMA falls below the 138-day EMA