Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oscar Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Oscar Health, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 42.3%, MDD -44.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.1%, drawdown -94.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 66.4%, MDD -44.9%, Sharpe 1.24, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 68.5%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 42.3%, MDD -44.5%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=13, threshold=0.01 |
66.4% | -44.9% | 1.24 | 1.48 | 15.7x | 106 | 44% |
| 볼린저 밴드 돌파 n=15, k=1.1 |
47.9% | -54.8% | 1.04 | 0.87 | 8.3x | 75 | 38% |
| ADX / DI 방향성 period=31, threshold=20 |
42.3% | -44.5% | 1.00 | 0.95 | 6.7x | 13 | 25% |
| MACD fast=6, slow=51, signal=4 |
51.8% | -50.5% | 0.98 | 1.03 | 9.6x | 143 | 50% |
| Supertrend period=14, mult=1.3 |
42.0% | -60.4% | 0.93 | 0.70 | 6.7x | 95 | 42% |
| Parabolic SAR step=0.01, maxStep=0.12 |
39.4% | -54.3% | 0.88 | 0.73 | 6.0x | 71 | 46% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=2.1 |
32.0% | -47.5% | 0.87 | 0.67 | 4.5x | 23 | 29% |
| Donchian 채널 돌파 entryN=86, exitN=39 |
23.3% | -53.7% | 0.68 | 0.43 | 3.1x | 7 | 26% |
| SMA 크로스오버 fast=27, slow=146 |
24.7% | -47.3% | 0.67 | 0.52 | 3.3x | 13 | 40% |
| EMA 크로스오버 fast=35, slow=42 |
20.6% | -55.7% | 0.60 | 0.37 | 2.7x | 15 | 41% |
| Buy and hold | -2.1% | -94.2% | 0.36 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than 1%
- Sell — Sell when the 13-day return drops to 1% or below