Trend-Following Backtester · Guide · backtest 한국어
equity · AT
OMV Aktiengesellschaft backtest
10 trend-following strategies were compared on the full daily history of OMV Aktiengesellschaft. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -56.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -72.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -33.7%, Sharpe 0.45, 18% exposure.
CAGR reference leader: Supertrend — CAGR 7.0%, MDD -63.3%, exposure 53%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 38.9%p (CAGR 5.9%, MDD -56.2%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=8, mult=3.8 |
5.1% | -33.7% | 0.45 | 0.15 | 3.7x | 53 | 18% |
| 볼린저 밴드 돌파 n=29, k=3.2 |
3.1% | -16.3% | 0.43 | 0.19 | 2.3x | 24 | 7% |
| Supertrend period=9, mult=3.9 |
7.0% | -63.3% | 0.42 | 0.11 | 6.0x | 115 | 53% |
| Donchian 채널 돌파 entryN=77, exitN=36 |
5.5% | -47.7% | 0.37 | 0.11 | 4.1x | 59 | 43% |
| EMA 크로스오버 fast=44, slow=62 |
5.9% | -56.2% | 0.37 | 0.10 | 4.5x | 67 | 58% |
| SMA 크로스오버 fast=14, slow=110 |
5.8% | -61.4% | 0.36 | 0.09 | 4.4x | 83 | 58% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.0% | -68.8% | 0.24 | 0.04 | 2.2x | 229 | 53% |
| ROC 모멘텀 n=107, threshold=-0.03 |
2.2% | -77.8% | 0.21 | 0.03 | 1.8x | 251 | 64% |
| MACD fast=19, slow=35, signal=18 |
0.2% | -75.5% | 0.12 | 0.00 | 1.0x | 319 | 52% |
| ADX / DI 방향성 period=22, threshold=26 |
0.7% | -47.6% | 0.12 | 0.01 | 1.2x | 72 | 10% |
| Buy and hold | 7.3% | -72.6% | 0.38 | 0.10 | 6.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 41-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 41-day average