Trend-Following Backtester · Guide · backtest 한국어
equity · US
O-I Glass, Inc. backtest
10 trend-following strategies were compared on the full daily history of O-I Glass, Inc.. 10 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 4.9%, MDD -24.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -94.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.9%, MDD -24.7%, Sharpe 0.54, 6% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 6.1%, MDD -37.2%, exposure 10%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 70.0%p (CAGR 4.9%, MDD -24.7%, exposure 6%).
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=22, k=3.4 |
4.9% | -24.7% | 0.54 | 0.20 | 5.2x | 38 | 6% |
| ADX / DI 방향성 period=17, threshold=33 |
6.1% | -37.2% | 0.50 | 0.16 | 7.7x | 86 | 10% |
| Donchian 채널 돌파 entryN=69, exitN=37 |
5.6% | -54.7% | 0.35 | 0.10 | 6.7x | 78 | 39% |
| SMA 크로스오버 fast=9, slow=196 |
5.1% | -66.7% | 0.32 | 0.08 | 5.6x | 74 | 51% |
| EMA 크로스오버 fast=16, slow=119 |
4.9% | -62.8% | 0.31 | 0.08 | 5.3x | 102 | 50% |
| Supertrend period=25, mult=4.9 |
4.2% | -65.6% | 0.29 | 0.06 | 4.1x | 106 | 54% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2.1 |
4.0% | -73.7% | 0.28 | 0.05 | 3.9x | 156 | 36% |
| ROC 모멘텀 n=112, threshold=0.15 |
3.8% | -52.1% | 0.28 | 0.07 | 3.6x | 284 | 31% |
| MACD fast=19, slow=70, signal=20 |
2.4% | -79.7% | 0.24 | 0.03 | 2.3x | 338 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.9% | -95.1% | 0.22 | 0.02 | 1.9x | 286 | 53% |
| Buy and hold | -1.1% | -94.7% | 0.21 | -0.01 | 0.7x | 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 22-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 22-day middle average