Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Oshidori International Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Oshidori International Holdings Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.5%, MDD -59.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.5%, drawdown -98.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -59.7%, Sharpe 0.60, 22% exposure.
CAGR reference leader: Supertrend — CAGR 16.4%, MDD -82.6%, exposure 38%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 15.5%, MDD -59.7%, exposure 22%).
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=115, exitN=22 |
15.5% | -59.7% | 0.60 | 0.26 | 46.1x | 43 | 22% |
| Supertrend period=31, mult=4.9 |
16.4% | -82.6% | 0.56 | 0.20 | 56.8x | 67 | 38% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=29, mult=3.2 |
12.1% | -61.8% | 0.50 | 0.20 | 21.0x | 67 | 22% |
| 볼린저 밴드 돌파 n=50, k=2.6 |
11.9% | -66.7% | 0.49 | 0.18 | 19.9x | 77 | 23% |
| SMA 크로스오버 fast=20, slow=82 |
12.9% | -82.1% | 0.49 | 0.16 | 25.5x | 81 | 43% |
| EMA 크로스오버 fast=26, slow=83 |
12.4% | -80.2% | 0.48 | 0.15 | 22.5x | 65 | 40% |
| Parabolic SAR step=0.005, maxStep=0.36 |
11.1% | -84.4% | 0.45 | 0.13 | 16.7x | 171 | 46% |
| ADX / DI 방향성 period=15, threshold=20 |
7.2% | -83.6% | 0.38 | 0.09 | 6.4x | 245 | 43% |
| MACD fast=18, slow=52, signal=16 |
5.9% | -95.3% | 0.35 | 0.06 | 4.6x | 279 | 50% |
| ROC 모멘텀 n=119, threshold=0.02 |
4.7% | -87.5% | 0.33 | 0.05 | 3.4x | 217 | 42% |
| Buy and hold | 1.5% | -98.1% | 0.35 | 0.02 | 1.5x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 22 days