Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oshkosh Corporation (Holding Company) backtest
10 trend-following strategies were compared on the full daily history of Oshkosh Corporation (Holding Company). 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.6%, MDD -65.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -94.0%).
Sharpe leader (same as main): Supertrend — CAGR 8.6%, MDD -65.1%, Sharpe 0.43, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.7%, MDD -71.4%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 29.0%p (CAGR 8.6%, MDD -65.1%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.7 |
8.6% | -65.1% | 0.43 | 0.13 | 29.4x | 131 | 55% |
| SMA 크로스오버 fast=46, slow=159 |
8.7% | -71.4% | 0.43 | 0.12 | 30.2x | 63 | 59% |
| EMA 크로스오버 fast=62, slow=106 |
8.0% | -60.0% | 0.41 | 0.13 | 23.0x | 71 | 60% |
| Donchian 채널 돌파 entryN=16, exitN=90 |
8.3% | -70.7% | 0.40 | 0.12 | 26.2x | 121 | 82% |
| ROC 모멘텀 n=146, threshold=-0.04 |
4.8% | -85.2% | 0.31 | 0.06 | 6.8x | 317 | 66% |
| ADX / DI 방향성 period=39, threshold=7 |
3.4% | -66.1% | 0.26 | 0.05 | 3.9x | 443 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=2.6 |
3.0% | -59.3% | 0.24 | 0.05 | 3.3x | 168 | 34% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
2.7% | -60.7% | 0.23 | 0.04 | 3.0x | 196 | 31% |
| Parabolic SAR step=0.03, maxStep=0.2 |
1.5% | -75.5% | 0.20 | 0.02 | 1.8x | 949 | 53% |
| MACD fast=15, slow=54, signal=18 |
-1.3% | -93.1% | 0.11 | -0.01 | 0.6x | 481 | 51% |
| Buy and hold | 10.3% | -94.0% | 0.44 | 0.11 | 54.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)