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 40.5%, MDD -44.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.8%, drawdown -94.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 59.7%, MDD -44.9%, Sharpe 1.16, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 62.5%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 40.5%, MDD -44.5%, exposure 26%).
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 |
59.7% | -44.9% | 1.16 | 1.33 | 13.1x | 111 | 44% |
| ADX / DI 방향성 period=31, threshold=20 |
40.5% | -44.5% | 0.97 | 0.91 | 6.5x | 13 | 26% |
| MACD fast=6, slow=51, signal=4 |
49.8% | -50.5% | 0.96 | 0.99 | 9.2x | 146 | 50% |
| 볼린저 밴드 돌파 n=15, k=1.1 |
40.1% | -54.8% | 0.93 | 0.73 | 6.4x | 78 | 38% |
| Supertrend period=14, mult=1.3 |
37.2% | -60.4% | 0.86 | 0.61 | 5.7x | 98 | 43% |
| Parabolic SAR step=0.01, maxStep=0.12 |
32.2% | -54.3% | 0.78 | 0.59 | 4.6x | 73 | 47% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=2.1 |
25.3% | -47.5% | 0.74 | 0.53 | 3.5x | 25 | 30% |
| SMA 크로스오버 fast=27, slow=146 |
23.3% | -47.3% | 0.64 | 0.49 | 3.2x | 13 | 41% |
| Donchian 채널 돌파 entryN=86, exitN=39 |
19.2% | -53.7% | 0.60 | 0.36 | 2.6x | 8 | 26% |
| EMA 크로스오버 fast=35, slow=42 |
19.3% | -55.7% | 0.58 | 0.35 | 2.6x | 15 | 42% |
| Buy and hold | -2.8% | -94.2% | 0.35 | -0.03 | 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