Trend-Following Backtester · Guide · backtest 한국어
equity · US
Omnicell, Inc. backtest
10 trend-following strategies were compared on the full daily history of Omnicell, Inc.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.9%, MDD -49.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.7%, drawdown -86.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.0%, MDD -49.6%, Sharpe 0.62, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 6.9%, MDD -49.4%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=120, threshold=0.07 |
15.0% | -49.6% | 0.62 | 0.30 | 33.1x | 182 | 51% |
| Donchian 채널 돌파 entryN=79, exitN=66 |
13.3% | -59.2% | 0.57 | 0.22 | 22.5x | 34 | 53% |
| EMA 크로스오버 fast=35, slow=119 |
12.4% | -52.3% | 0.53 | 0.24 | 18.5x | 31 | 57% |
| SMA 크로스오버 fast=14, slow=202 |
11.7% | -50.2% | 0.51 | 0.23 | 16.0x | 39 | 58% |
| 볼린저 밴드 돌파 n=54, k=1.7 |
6.9% | -49.4% | 0.38 | 0.14 | 5.3x | 120 | 41% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=3.8 |
4.6% | -41.5% | 0.37 | 0.11 | 3.1x | 36 | 13% |
| ADX / DI 방향성 period=44, threshold=18 |
3.8% | -40.5% | 0.30 | 0.09 | 2.5x | 40 | 14% |
| Supertrend period=28, mult=3.9 |
4.0% | -84.7% | 0.29 | 0.05 | 2.7x | 98 | 59% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-0.0% | -74.6% | 0.16 | -0.00 | 1.0x | 420 | 53% |
| MACD fast=18, slow=58, signal=17 |
-3.5% | -86.8% | 0.07 | -0.04 | 0.4x | 276 | 54% |
| Buy and hold | 5.7% | -86.7% | 0.37 | 0.07 | 4.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 120-day return is greater than 7%
- Sell — Sell when the 120-day return drops to 7% or below