Trend-Following Backtester · Guide · backtest 한국어
equity · NL
OCI NV backtest
10 trend-following strategies were compared on the full daily history of OCI NV. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.7%, MDD -28.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.5%, drawdown -93.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.7%, MDD -28.0%, Sharpe 0.50, 9% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 5.7%, MDD -28.0%, exposure 9%).
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=13, k=2.7 |
5.7% | -28.0% | 0.50 | 0.20 | 2.1x | 44 | 9% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=24, mult=2.4 |
5.7% | -30.0% | 0.43 | 0.19 | 2.1x | 44 | 14% |
| Supertrend period=16, mult=3.7 |
3.7% | -48.0% | 0.27 | 0.08 | 1.6x | 67 | 42% |
| Donchian 채널 돌파 entryN=35, exitN=22 |
2.4% | -52.3% | 0.22 | 0.04 | 1.4x | 57 | 35% |
| MACD fast=22, slow=44, signal=22 |
-1.9% | -78.8% | 0.10 | -0.02 | 0.8x | 114 | 53% |
| ROC 모멘텀 n=128, threshold=0.13 |
0.0% | -51.6% | 0.10 | 0.00 | 1.0x | 117 | 29% |
| EMA 크로스오버 fast=9, slow=49 |
-0.8% | -63.7% | 0.09 | -0.01 | 0.9x | 87 | 43% |
| ADX / DI 방향성 period=13, threshold=21 |
-1.1% | -54.1% | 0.06 | -0.02 | 0.9x | 177 | 31% |
| SMA 크로스오버 fast=9, slow=195 |
-3.1% | -71.3% | 0.04 | -0.04 | 0.6x | 27 | 43% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.1% | -62.1% | 0.01 | -0.07 | 0.6x | 121 | 45% |
| Buy and hold | -15.5% | -93.9% | -0.11 | -0.17 | 0.1x | 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 13-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 13-day middle average