Trend-Following Backtester · Guide · backtest 한국어
equity · KR
오리온 backtest
10 trend-following strategies were compared on the full daily history of 오리온. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -28.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.1%, drawdown -49.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.8%, MDD -7.4%, Sharpe 0.43, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -28.4%, exposure 51%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 41.9%p (CAGR 6.0%, MDD -28.4%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.9 |
1.8% | -7.4% | 0.43 | 0.24 | 1.2x | 4 | 1% |
| SMA 크로스오버 fast=23, slow=68 |
6.0% | -28.4% | 0.37 | 0.21 | 1.7x | 34 | 51% |
| Supertrend period=6, mult=4.8 |
5.9% | -40.8% | 0.35 | 0.15 | 1.7x | 21 | 63% |
| Donchian 채널 돌파 entryN=43, exitN=63 |
2.9% | -41.5% | 0.24 | 0.07 | 1.3x | 19 | 55% |
| EMA 크로스오버 fast=54, slow=68 |
1.0% | -55.9% | 0.17 | 0.02 | 1.1x | 22 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=28, mult=4 |
0.9% | -23.0% | 0.14 | 0.04 | 1.1x | 12 | 16% |
| ADX / DI 방향성 period=33, threshold=15 |
0.9% | -29.8% | 0.14 | 0.03 | 1.1x | 40 | 23% |
| ROC 모멘텀 n=126, threshold=0.06 |
-2.2% | -41.2% | 0.01 | -0.05 | 0.8x | 74 | 40% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-9.1% | -71.7% | -0.27 | -0.13 | 0.4x | 212 | 50% |
| MACD fast=25, slow=63, signal=14 |
-9.4% | -66.5% | -0.29 | -0.14 | 0.4x | 92 | 50% |
| Buy and hold | 5.1% | -49.4% | 0.32 | 0.10 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 11-day middle average