Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oppenheimer Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Oppenheimer Holdings, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -53.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.8%, drawdown -87.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -53.8%, Sharpe 0.44, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 9.3%, MDD -53.8%, exposure 55%).
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=25, slow=238 |
9.3% | -53.8% | 0.44 | 0.17 | 48.8x | 67 | 55% |
| Donchian 채널 돌파 entryN=97, exitN=77 |
9.1% | -60.0% | 0.44 | 0.15 | 44.6x | 59 | 47% |
| EMA 크로스오버 fast=55, slow=162 |
8.3% | -59.8% | 0.41 | 0.14 | 33.3x | 59 | 55% |
| 볼린저 밴드 돌파 n=20, k=3.1 |
4.4% | -53.8% | 0.36 | 0.08 | 6.5x | 94 | 9% |
| ROC 모멘텀 n=114, threshold=-0.02 |
5.6% | -81.9% | 0.32 | 0.07 | 11.0x | 421 | 61% |
| ADX / DI 방향성 period=28, threshold=15 |
3.9% | -73.7% | 0.27 | 0.05 | 5.5x | 265 | 47% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.7% | -70.8% | 0.26 | 0.05 | 5.0x | 319 | 51% |
| Supertrend period=28, mult=4.3 |
3.7% | -70.5% | 0.26 | 0.05 | 4.8x | 203 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=4 |
3.4% | -63.0% | 0.25 | 0.05 | 4.3x | 114 | 25% |
| MACD fast=17, slow=28, signal=24 |
1.5% | -85.6% | 0.20 | 0.02 | 2.0x | 510 | 49% |
| Buy and hold | 7.8% | -87.9% | 0.39 | 0.09 | 27.4x | 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 25-day average price crosses above the 238-day average
- Sell — Sell (to cash) when the 25-day average falls below the 238-day average