Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Olam Group Limited backtest
10 trend-following strategies were compared on the full daily history of Olam Group Limited. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -17.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.6%, drawdown -77.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.5%, MDD -12.5%, Sharpe 0.41, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -52.2%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 65.1%p (CAGR 2.6%, MDD -17.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=22, mult=3.9 |
2.5% | -12.5% | 0.41 | 0.20 | 1.7x | 16 | 4% |
| SMA 크로스오버 fast=22, slow=105 |
6.5% | -52.2% | 0.39 | 0.12 | 3.8x | 63 | 47% |
| ROC 모멘텀 n=98, threshold=0.11 |
5.3% | -64.8% | 0.37 | 0.08 | 3.0x | 159 | 27% |
| Donchian 채널 돌파 entryN=97, exitN=56 |
5.3% | -58.8% | 0.36 | 0.09 | 3.0x | 35 | 35% |
| EMA 크로스오버 fast=32, slow=60 |
5.4% | -56.7% | 0.34 | 0.10 | 3.1x | 69 | 47% |
| ADX / DI 방향성 period=36, threshold=26 |
2.6% | -17.0% | 0.32 | 0.15 | 1.7x | 9 | 7% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
2.2% | -26.1% | 0.31 | 0.08 | 1.6x | 18 | 4% |
| Supertrend period=8, mult=4.3 |
3.7% | -68.9% | 0.27 | 0.05 | 2.2x | 81 | 55% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-4.5% | -84.3% | -0.05 | -0.05 | 0.4x | 377 | 49% |
| MACD fast=18, slow=82, signal=13 |
-4.4% | -85.1% | -0.06 | -0.05 | 0.4x | 243 | 48% |
| Buy and hold | 2.6% | -77.7% | 0.25 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average