Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ollie's Bargain Outlet Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ollie's Bargain Outlet Holdings, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.2%, MDD -39.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.1%, drawdown -66.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.2%, MDD -39.5%, Sharpe 0.69, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 17.2%, MDD -39.5%, exposure 61%).
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=47, slow=144 |
17.2% | -39.5% | 0.69 | 0.44 | 5.8x | 20 | 61% |
| Donchian 채널 돌파 entryN=97, exitN=17 |
9.6% | -29.0% | 0.59 | 0.33 | 2.8x | 28 | 27% |
| EMA 크로스오버 fast=55, slow=180 |
13.3% | -54.8% | 0.57 | 0.24 | 4.0x | 10 | 67% |
| Supertrend period=25, mult=4.6 |
12.1% | -57.6% | 0.53 | 0.21 | 3.6x | 31 | 61% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=3.3 |
6.9% | -26.9% | 0.45 | 0.26 | 2.1x | 28 | 29% |
| 볼린저 밴드 돌파 n=16, k=1.6 |
7.7% | -37.9% | 0.44 | 0.20 | 2.3x | 144 | 37% |
| ROC 모멘텀 n=75, threshold=-0.04 |
9.1% | -68.3% | 0.44 | 0.13 | 2.6x | 115 | 66% |
| ADX / DI 방향성 period=13, threshold=39 |
2.8% | -13.7% | 0.37 | 0.20 | 1.4x | 24 | 7% |
| MACD fast=16, slow=48, signal=24 |
3.9% | -65.0% | 0.28 | 0.06 | 1.5x | 117 | 49% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-5.2% | -67.5% | -0.04 | -0.08 | 0.6x | 262 | 55% |
| Buy and hold | 12.1% | -66.2% | 0.48 | 0.18 | 3.5x | 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 47-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 47-day average falls below the 144-day average