Trend-Following Backtester · Guide · backtest 한국어
equity · US
O'Reilly Automotive, Inc. backtest
10 trend-following strategies were compared on the full daily history of O'Reilly Automotive, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.7%, MDD -37.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.9%, drawdown -65.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.7%, MDD -37.0%, Sharpe 0.77, 75% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 28.4%p (CAGR 17.7%, MDD -37.0%, exposure 75%).
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=59, slow=214 |
17.7% | -37.0% | 0.77 | 0.48 | 226.2x | 26 | 75% |
| EMA 크로스오버 fast=66, slow=164 |
16.2% | -47.1% | 0.71 | 0.34 | 149.8x | 28 | 79% |
| ROC 모멘텀 n=147, threshold=-0.07 |
13.8% | -56.3% | 0.61 | 0.25 | 74.4x | 147 | 84% |
| Donchian 채널 돌파 entryN=67, exitN=77 |
12.1% | -50.1% | 0.60 | 0.24 | 45.0x | 46 | 70% |
| Supertrend period=24, mult=4.7 |
9.2% | -57.2% | 0.49 | 0.16 | 18.9x | 104 | 69% |
| Parabolic SAR step=0.005, maxStep=0.28 |
5.0% | -63.1% | 0.33 | 0.08 | 5.1x | 277 | 56% |
| 볼린저 밴드 돌파 n=44, k=1.9 |
4.4% | -41.6% | 0.33 | 0.10 | 4.1x | 186 | 43% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=26, mult=1.7 |
3.9% | -49.0% | 0.29 | 0.08 | 3.5x | 190 | 53% |
| MACD fast=36, slow=44, signal=31 |
3.8% | -57.1% | 0.28 | 0.07 | 3.5x | 267 | 51% |
| ADX / DI 방향성 period=39, threshold=19 |
0.8% | -44.4% | 0.13 | 0.02 | 1.3x | 94 | 21% |
| Buy and hold | 20.9% | -65.4% | 0.74 | 0.32 | 554.1x | 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 59-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 59-day average falls below the 214-day average