Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ouster, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ouster, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.1%, MDD -63.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.2%, drawdown -98.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 30.9%, MDD -70.0%, Sharpe 0.72, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.1%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 18.1%, MDD -63.3%, exposure 29%).
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=8, threshold=20 |
30.9% | -70.0% | 0.72 | 0.44 | 4.9x | 132 | 46% |
| 볼린저 밴드 돌파 n=11, k=1.1 |
27.2% | -64.2% | 0.68 | 0.42 | 4.1x | 112 | 34% |
| Supertrend period=24, mult=1.9 |
26.8% | -77.3% | 0.68 | 0.35 | 4.1x | 80 | 36% |
| Parabolic SAR step=0.015, maxStep=0.12 |
26.0% | -84.1% | 0.66 | 0.31 | 3.9x | 98 | 42% |
| ROC 모멘텀 n=126, threshold=-0.03 |
19.4% | -78.2% | 0.59 | 0.25 | 2.8x | 45 | 38% |
| MACD fast=22, slow=47, signal=27 |
18.0% | -69.0% | 0.58 | 0.26 | 2.6x | 42 | 49% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=10, mult=2 |
18.1% | -63.3% | 0.56 | 0.29 | 2.7x | 28 | 29% |
| Donchian 채널 돌파 entryN=6, exitN=33 |
12.4% | -84.5% | 0.55 | 0.15 | 2.0x | 37 | 71% |
| SMA 크로스오버 fast=15, slow=212 |
3.7% | -64.9% | 0.35 | 0.06 | 1.2x | 11 | 32% |
| EMA 크로스오버 fast=59, slow=203 |
2.1% | -75.9% | 0.32 | 0.03 | 1.1x | 9 | 32% |
| Buy and hold | -16.2% | -98.0% | 0.29 | -0.17 | 0.4x | 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, 8-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)