Trend-Following Backtester · Guide · backtest 한국어
equity · US
OSI Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of OSI Systems, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -88.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -90.1%, Sharpe 0.36, 85% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=50 |
6.7% | -90.1% | 0.36 | 0.07 | 6.4x | 117 | 85% |
| EMA 크로스오버 fast=34, slow=57 |
6.6% | -78.2% | 0.34 | 0.08 | 6.3x | 78 | 57% |
| SMA 크로스오버 fast=18, slow=113 |
6.0% | -83.1% | 0.32 | 0.07 | 5.4x | 84 | 56% |
| MACD fast=19, slow=58, signal=22 |
5.3% | -69.3% | 0.31 | 0.08 | 4.4x | 277 | 51% |
| 볼린저 밴드 돌파 n=43, k=2.3 |
4.2% | -67.2% | 0.26 | 0.06 | 3.2x | 124 | 29% |
| Supertrend period=16, mult=4.1 |
2.6% | -87.2% | 0.25 | 0.03 | 2.1x | 116 | 56% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=16, mult=3.4 |
3.5% | -67.6% | 0.23 | 0.05 | 2.7x | 78 | 19% |
| ROC 모멘텀 n=112, threshold=0.01 |
1.3% | -85.0% | 0.23 | 0.02 | 1.5x | 262 | 57% |
| ADX / DI 방향성 period=41, threshold=23 |
2.6% | -78.2% | 0.21 | 0.03 | 2.1x | 22 | 8% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.0% | -76.6% | 0.19 | 0.00 | 1.0x | 235 | 55% |
| Buy and hold | 9.7% | -88.4% | 0.43 | 0.11 | 14.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 8 days
- Sell — Sell when price breaks below the lowest low of the last 50 days