Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Westshore Terminals Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of Westshore Terminals Investment Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.9%, MDD -42.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.3%, drawdown -73.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -48.5%, Sharpe 0.56, 60% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 7.9%, MDD -42.6%, exposure 60%).
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=43, slow=77 |
10.2% | -48.5% | 0.56 | 0.21 | 9.2x | 69 | 60% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
4.0% | -25.3% | 0.49 | 0.16 | 2.4x | 14 | 11% |
| Donchian 채널 돌파 entryN=40, exitN=46 |
8.5% | -48.8% | 0.49 | 0.17 | 6.5x | 55 | 62% |
| Supertrend period=29, mult=5 |
7.9% | -42.6% | 0.46 | 0.19 | 5.6x | 63 | 60% |
| EMA 크로스오버 fast=33, slow=154 |
6.9% | -55.1% | 0.42 | 0.12 | 4.6x | 43 | 60% |
| MACD fast=31, slow=71, signal=28 |
7.0% | -53.5% | 0.42 | 0.13 | 4.7x | 140 | 54% |
| ROC 모멘텀 n=109, threshold=-0.12 |
6.5% | -62.1% | 0.37 | 0.10 | 4.2x | 89 | 82% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=3.8 |
3.5% | -35.8% | 0.37 | 0.10 | 2.2x | 34 | 15% |
| ADX / DI 방향성 period=30, threshold=20 |
3.8% | -35.0% | 0.34 | 0.11 | 2.3x | 77 | 23% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.3% | -86.7% | -0.13 | -0.06 | 0.3x | 370 | 56% |
| Buy and hold | 8.3% | -73.5% | 0.41 | 0.11 | 6.1x | 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 43-day average price crosses above the 77-day average
- Sell — Sell (to cash) when the 43-day average falls below the 77-day average