Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Oxford Instruments plc backtest
10 trend-following strategies were compared on the full daily history of Oxford Instruments plc. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.5%, MDD -52.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.7%, drawdown -80.2%).
Sharpe leader (same as main): Supertrend — CAGR 12.5%, MDD -52.9%, Sharpe 0.62, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 12.5%, MDD -52.9%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=2.1 |
12.5% | -52.9% | 0.62 | 0.24 | 88.5x | 402 | 55% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=19, mult=3.6 |
2.9% | -11.2% | 0.55 | 0.26 | 3.0x | 104 | 7% |
| Parabolic SAR step=0.015, maxStep=0.44 |
8.8% | -64.9% | 0.47 | 0.14 | 24.7x | 550 | 54% |
| 볼린저 밴드 돌파 n=16, k=1.9 |
6.4% | -76.4% | 0.42 | 0.08 | 10.4x | 408 | 37% |
| Donchian 채널 돌파 entryN=12, exitN=24 |
5.4% | -83.5% | 0.33 | 0.06 | 7.5x | 244 | 68% |
| ADX / DI 방향성 period=9, threshold=17 |
5.0% | -76.6% | 0.32 | 0.07 | 6.4x | 786 | 52% |
| MACD fast=7, slow=22, signal=14 |
4.0% | -79.2% | 0.28 | 0.05 | 4.5x | 702 | 48% |
| EMA 크로스오버 fast=42, slow=217 |
3.4% | -69.7% | 0.26 | 0.05 | 3.6x | 51 | 53% |
| SMA 크로스오버 fast=9, slow=60 |
3.4% | -70.5% | 0.26 | 0.05 | 3.5x | 212 | 54% |
| ROC 모멘텀 n=45, threshold=-0.03 |
3.1% | -75.3% | 0.25 | 0.04 | 3.2x | 440 | 65% |
| Buy and hold | 6.7% | -80.2% | 0.36 | 0.08 | 11.7x | 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) — 10-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)