Trend-Following Backtester · Guide · backtest 한국어
equity · BR
OceanPact Servicos Maritimos SA backtest
10 trend-following strategies were compared on the full daily history of OceanPact Servicos Maritimos SA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.8%, MDD -7.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.5%, drawdown -85.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 32.3%, MDD -29.6%, Sharpe 1.04, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.8%p higher than buy and hold, while drawdown improves by 56.0%p (CAGR 5.8%, MDD -7.6%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=159 |
32.3% | -29.6% | 1.04 | 1.09 | 4.6x | 3 | 60% |
| EMA 크로스오버 fast=30, slow=96 |
28.8% | -29.6% | 0.94 | 0.97 | 4.0x | 3 | 61% |
| ROC 모멘텀 n=120, threshold=0.02 |
23.2% | -31.3% | 0.84 | 0.74 | 3.1x | 27 | 57% |
| Donchian 채널 돌파 entryN=74, exitN=53 |
22.4% | -29.6% | 0.80 | 0.76 | 3.0x | 5 | 59% |
| ADX / DI 방향성 period=20, threshold=36 |
5.8% | -7.6% | 0.78 | 0.77 | 1.4x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=13, mult=4 |
4.3% | -7.6% | 0.60 | 0.56 | 1.3x | 2 | 4% |
| Supertrend period=27, mult=3.8 |
7.6% | -38.2% | 0.39 | 0.20 | 1.5x | 17 | 61% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
3.8% | -23.3% | 0.37 | 0.16 | 1.2x | 4 | 6% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-5.0% | -60.3% | -0.02 | -0.08 | 0.8x | 102 | 50% |
| MACD fast=4, slow=50, signal=15 |
-5.7% | -63.7% | -0.02 | -0.09 | 0.7x | 114 | 51% |
| Buy and hold | -1.5% | -85.5% | 0.22 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 20-day average falls below the 159-day average