Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oracle Corporation backtest
10 trend-following strategies were compared on the full daily history of Oracle Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.8%, MDD -56.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.8%, drawdown -84.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.8%, MDD -56.3%, Sharpe 0.63, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.2%, MDD -78.9%, exposure 90%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 27.9%p (CAGR 17.8%, MDD -56.3%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=70, slow=140 |
17.8% | -56.3% | 0.63 | 0.32 | 750.4x | 50 | 70% |
| Donchian 채널 돌파 entryN=11, exitN=97 |
18.2% | -78.9% | 0.61 | 0.23 | 866.6x | 88 | 90% |
| SMA 크로스오버 fast=36, slow=210 |
16.7% | -63.6% | 0.61 | 0.26 | 512.8x | 62 | 69% |
| ROC 모멘텀 n=88, threshold=-0.04 |
10.7% | -85.7% | 0.46 | 0.12 | 59.6x | 400 | 73% |
| Supertrend period=16, mult=3.2 |
9.7% | -83.9% | 0.45 | 0.12 | 42.0x | 258 | 58% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
4.6% | -49.4% | 0.38 | 0.09 | 6.1x | 28 | 9% |
| MACD fast=16, slow=41, signal=18 |
6.1% | -82.2% | 0.34 | 0.07 | 10.8x | 486 | 51% |
| ADX / DI 방향성 period=38, threshold=11 |
4.3% | -87.8% | 0.29 | 0.05 | 5.5x | 338 | 41% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.4% | -85.3% | 0.26 | 0.04 | 3.9x | 360 | 56% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=14, mult=3.6 |
2.3% | -42.5% | 0.26 | 0.05 | 2.5x | 50 | 6% |
| Buy and hold | 20.8% | -84.2% | 0.64 | 0.25 | 2042.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 140-day EMA
- Sell — Sell when the 70-day EMA falls below the 140-day EMA