Trend-Following Backtester · Guide · backtest 한국어
equity · KR
오리온홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 오리온홀딩스. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.4%, MDD -55.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.7%, drawdown -84.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -55.3%, Sharpe 0.52, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 11.4%, MDD -55.3%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=60 |
11.4% | -55.3% | 0.52 | 0.21 | 17.7x | 125 | 56% |
| EMA 크로스오버 fast=37, slow=159 |
10.9% | -66.7% | 0.50 | 0.16 | 15.8x | 37 | 55% |
| ROC 모멘텀 n=183, threshold=0.06 |
8.5% | -68.3% | 0.43 | 0.12 | 8.8x | 149 | 47% |
| Donchian 채널 돌파 entryN=34, exitN=76 |
7.4% | -83.0% | 0.38 | 0.09 | 6.7x | 61 | 71% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=4 |
4.3% | -31.6% | 0.37 | 0.14 | 3.1x | 26 | 9% |
| MACD fast=22, slow=95, signal=28 |
5.1% | -65.4% | 0.32 | 0.08 | 3.8x | 194 | 52% |
| ADX / DI 방향성 period=22, threshold=38 |
2.8% | -26.0% | 0.31 | 0.11 | 2.1x | 18 | 4% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
4.0% | -39.1% | 0.30 | 0.10 | 2.8x | 58 | 18% |
| Supertrend period=20, mult=4.8 |
2.6% | -86.1% | 0.23 | 0.03 | 2.0x | 81 | 60% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.3% | -79.5% | 0.07 | -0.03 | 0.5x | 215 | 54% |
| Buy and hold | 10.7% | -84.1% | 0.45 | 0.13 | 14.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 60-day average
- Sell — Sell (to cash) when the 37-day average falls below the 60-day average