Trend-Following Backtester · Guide · backtest 한국어

equity · US

Park-Ohio Holdings Corp. backtest

10 trend-following strategies were compared on the full daily history of Park-Ohio Holdings Corp.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 1973-02-21 ~ 2026-07-31daily bars 13,474 (53.4 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 4.1%, drawdown -94.2%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.6%, MDD -22.1%, Sharpe 0.46, 7% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, MDD -80.5%, exposure 52%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=82, threshold=38
2.6%-22.1%0.460.123.9x27%
SMA 크로스오버
fast=40, slow=313
7.2%-80.5%0.380.0941.7x6152%
Donchian 채널 돌파
entryN=117, exitN=79
5.3%-83.1%0.320.0615.9x6142%
EMA 크로스오버
fast=55, slow=218
4.4%-88.2%0.290.059.9x6950%
Parabolic SAR
step=0.035, maxStep=0.26
3.8%-88.1%0.290.047.4x131351%
볼린저 밴드 돌파
n=33, k=1.7
3.0%-93.6%0.250.035.0x37134%
ROC 모멘텀
n=147, threshold=-0.05
1.5%-94.4%0.220.022.3x44960%
Supertrend
period=5, mult=2.4
0.4%-97.0%0.190.001.2x43351%
Keltner 채널 돌파
emaPeriod=45, atrPeriod=20, mult=1.1
0.6%-94.8%0.170.011.3x42339%
MACD
fast=13, slow=32, signal=10
-2.4%-99.6%0.13-0.020.3x89650%
Buy and hold4.1%-94.2%0.350.048.5x1100%
1x 10x 1974 1981 1988 1995 2002 2009 2016 2023 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -24% -47% -71% -94% 1974 1981 1988 1995 2002 2009 2016 2023 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -22.1% (1976-07-20 → 1976-09-15), recovered after 289 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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