Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Oracle Financial Services Software Limited backtest
10 trend-following strategies were compared on the full daily history of Oracle Financial Services Software Limited. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.0%, MDD -44.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.5%, drawdown -83.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.2%, MDD -51.8%, Sharpe 0.77, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 18.0%, MDD -44.1%, exposure 57%).
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=34, exitN=50 |
19.2% | -51.8% | 0.77 | 0.37 | 70.0x | 51 | 68% |
| EMA 크로스오버 fast=34, slow=59 |
18.3% | -44.8% | 0.77 | 0.41 | 58.4x | 67 | 58% |
| Supertrend period=21, mult=3.7 |
18.0% | -46.2% | 0.77 | 0.39 | 54.5x | 89 | 56% |
| SMA 크로스오버 fast=21, slow=115 |
18.0% | -44.1% | 0.76 | 0.41 | 55.0x | 57 | 57% |
| 볼린저 밴드 돌파 n=38, k=1.8 |
16.2% | -38.5% | 0.76 | 0.42 | 37.7x | 139 | 41% |
| ROC 모멘텀 n=98, threshold=0.02 |
16.6% | -49.2% | 0.73 | 0.34 | 41.0x | 157 | 54% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=27, mult=1.2 |
15.4% | -40.5% | 0.71 | 0.38 | 31.6x | 161 | 45% |
| ADX / DI 방향성 period=20, threshold=18 |
10.2% | -61.1% | 0.55 | 0.17 | 10.5x | 224 | 35% |
| MACD fast=13, slow=51, signal=18 |
10.3% | -52.8% | 0.51 | 0.20 | 10.8x | 278 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
7.9% | -57.5% | 0.42 | 0.14 | 6.3x | 407 | 54% |
| Buy and hold | 17.5% | -83.6% | 0.63 | 0.21 | 49.8x | 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 34 days
- Sell — Sell when price breaks below the lowest low of the last 50 days