Trend-Following Backtester · Guide · backtest 한국어
equity · US
OneSpaWorld Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of OneSpaWorld Holdings Limited. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.6%, MDD -40.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.8%, drawdown -85.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -4.6%, Sharpe 0.81, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.4%, MDD -40.5%, exposure 86%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.9%p lower than buy and hold, while drawdown improves by 80.5%p (CAGR 16.6%, MDD -40.4%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=30 |
2.9% | -4.6% | 0.81 | 0.63 | 1.3x | 6 | 3% |
| Donchian 채널 돌파 entryN=13, exitN=48 |
23.4% | -40.5% | 0.73 | 0.58 | 6.2x | 17 | 86% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=17, mult=3.6 |
2.2% | -3.8% | 0.71 | 0.57 | 1.2x | 6 | 2% |
| SMA 크로스오버 fast=34, slow=132 |
16.6% | -40.4% | 0.64 | 0.41 | 3.8x | 13 | 68% |
| ROC 모멘텀 n=114, threshold=-0.08 |
16.6% | -46.4% | 0.62 | 0.36 | 3.8x | 55 | 81% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
3.5% | -10.0% | 0.56 | 0.35 | 1.4x | 10 | 11% |
| EMA 크로스오버 fast=53, slow=193 |
12.1% | -41.0% | 0.52 | 0.29 | 2.7x | 13 | 73% |
| Parabolic SAR step=0.02, maxStep=0.12 |
10.5% | -63.5% | 0.46 | 0.16 | 2.4x | 169 | 52% |
| Supertrend period=9, mult=4.4 |
9.9% | -44.1% | 0.45 | 0.23 | 2.3x | 33 | 68% |
| MACD fast=21, slow=27, signal=15 |
8.0% | -59.2% | 0.40 | 0.14 | 2.0x | 116 | 49% |
| Buy and hold | 11.8% | -85.1% | 0.48 | 0.14 | 2.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)