Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oklo Inc. backtest
10 trend-following strategies were compared on the full daily history of Oklo Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 55.7%, MDD -54.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 31.2%, drawdown -78.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 56.7%, MDD -56.7%, Sharpe 1.00, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 25.5%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 55.7%, MDD -54.3%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=4, slow=59 |
56.7% | -56.7% | 1.00 | 1.00 | 10.1x | 26 | 54% |
| EMA 크로스오버 fast=12, slow=42 |
55.7% | -54.3% | 0.99 | 1.03 | 9.8x | 24 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=1.3 |
53.4% | -55.9% | 0.98 | 0.96 | 9.0x | 18 | 44% |
| 볼린저 밴드 돌파 n=23, k=1.7 |
49.3% | -57.1% | 0.97 | 0.86 | 7.9x | 44 | 37% |
| Donchian 채널 돌파 entryN=26, exitN=19 |
50.7% | -55.9% | 0.95 | 0.91 | 8.3x | 14 | 54% |
| Supertrend period=28, mult=3.8 |
44.6% | -55.9% | 0.89 | 0.80 | 6.7x | 18 | 46% |
| ADX / DI 방향성 period=17, threshold=16 |
38.3% | -61.7% | 0.82 | 0.62 | 5.3x | 44 | 56% |
| MACD fast=19, slow=30, signal=11 |
35.3% | -75.2% | 0.79 | 0.47 | 4.7x | 81 | 53% |
| ROC 모멘텀 n=33, threshold=-0.03 |
32.5% | -61.8% | 0.76 | 0.53 | 4.3x | 50 | 74% |
| Parabolic SAR step=0.025, maxStep=0.12 |
16.7% | -60.1% | 0.58 | 0.28 | 2.2x | 98 | 49% |
| Buy and hold | 31.2% | -78.8% | 0.75 | 0.40 | 4.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 4-day average price crosses above the 59-day average
- Sell — Sell (to cash) when the 4-day average falls below the 59-day average