Trend-Following Backtester · Guide · backtest 한국어
equity · US
Omega Healthcare Investors, Inc. backtest
10 trend-following strategies were compared on the full daily history of Omega Healthcare Investors, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -22.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.3%, drawdown -96.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -22.0%, Sharpe 0.50, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.3%, MDD -45.4%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 74.2%p (CAGR 4.3%, MDD -22.0%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=3.2 |
4.3% | -22.0% | 0.50 | 0.19 | 4.2x | 30 | 8% |
| ADX / DI 방향성 period=12, threshold=39 |
4.8% | -28.5% | 0.46 | 0.17 | 5.0x | 94 | 9% |
| Donchian 채널 돌파 entryN=60, exitN=53 |
7.3% | -45.4% | 0.43 | 0.16 | 10.9x | 63 | 53% |
| EMA 크로스오버 fast=53, slow=105 |
6.5% | -51.0% | 0.39 | 0.13 | 8.6x | 55 | 62% |
| SMA 크로스오버 fast=20, slow=215 |
6.4% | -60.9% | 0.39 | 0.10 | 8.2x | 51 | 60% |
| Supertrend period=8, mult=4.2 |
3.9% | -61.6% | 0.28 | 0.06 | 3.7x | 136 | 53% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=16, mult=3.1 |
2.5% | -53.6% | 0.27 | 0.05 | 2.3x | 42 | 7% |
| ROC 모멘텀 n=137, threshold=-0.02 |
2.4% | -61.9% | 0.22 | 0.04 | 2.3x | 275 | 64% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.6% | -80.1% | 0.15 | 0.01 | 1.2x | 290 | 51% |
| MACD fast=12, slow=50, signal=18 |
-5.9% | -90.3% | -0.10 | -0.07 | 0.1x | 468 | 52% |
| Buy and hold | 2.3% | -96.2% | 0.25 | 0.02 | 2.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 34-day middle average