Trend-Following Backtester · Guide · backtest 한국어
equity · IL
OPC Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of OPC Energy Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 22.8%, MDD -28.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.0%, drawdown -51.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.4%, MDD -12.7%, Sharpe 1.22, 11% exposure.
CAGR reference leader: Supertrend — CAGR 22.8%, MDD -28.6%, exposure 66%.
Return/drawdown alternative: Supertrend — CAGR is 14.6%p lower than buy and hold, while drawdown improves by 38.5%p (CAGR 22.8%, MDD -28.6%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=19, threshold=34 |
11.4% | -12.7% | 1.22 | 0.90 | 2.7x | 8 | 11% |
| Supertrend period=14, mult=4.8 |
22.8% | -28.6% | 1.04 | 0.80 | 6.4x | 18 | 66% |
| SMA 크로스오버 fast=23, slow=54 |
21.3% | -29.0% | 1.00 | 0.73 | 5.7x | 30 | 63% |
| Donchian 채널 돌파 entryN=24, exitN=69 |
22.2% | -32.3% | 0.96 | 0.69 | 6.1x | 12 | 78% |
| EMA 크로스오버 fast=37, slow=47 |
20.1% | -32.2% | 0.93 | 0.62 | 5.2x | 20 | 68% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=29, mult=4 |
11.3% | -36.6% | 0.92 | 0.31 | 2.6x | 10 | 17% |
| ROC 모멘텀 n=132, threshold=-0.01 |
16.6% | -38.2% | 0.79 | 0.43 | 4.0x | 39 | 71% |
| 볼린저 밴드 돌파 n=13, k=2.6 |
5.1% | -13.3% | 0.61 | 0.38 | 1.6x | 24 | 10% |
| MACD fast=19, slow=46, signal=13 |
6.3% | -47.1% | 0.42 | 0.13 | 1.7x | 87 | 51% |
| Parabolic SAR step=0.04, maxStep=0.26 |
3.3% | -62.0% | 0.28 | 0.05 | 1.3x | 235 | 55% |
| Buy and hold | 26.0% | -51.2% | 0.96 | 0.51 | 8.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 19-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)