Trend-Following Backtester · Guide · backtest 한국어
equity · DK
A.P. Moller - Maersk A/S Class A backtest
10 trend-following strategies were compared on the full daily history of A.P. Moller - Maersk A/S Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.8%, MDD -48.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.5%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -61.5%, Sharpe 0.41, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 7.1%p (CAGR 3.8%, MDD -48.0%, exposure 41%).
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=31, slow=155 |
7.0% | -61.5% | 0.41 | 0.11 | 6.0x | 49 | 54% |
| ROC 모멘텀 n=224, threshold=0.06 |
5.0% | -49.9% | 0.34 | 0.10 | 3.7x | 141 | 44% |
| EMA 크로스오버 fast=45, slow=137 |
4.4% | -65.6% | 0.30 | 0.07 | 3.1x | 51 | 53% |
| Donchian 채널 돌파 entryN=138, exitN=73 |
3.8% | -48.0% | 0.29 | 0.08 | 2.7x | 30 | 41% |
| MACD fast=18, slow=45, signal=17 |
2.0% | -74.5% | 0.20 | 0.03 | 1.7x | 283 | 51% |
| ADX / DI 방향성 period=25, threshold=27 |
1.2% | -23.5% | 0.18 | 0.05 | 1.4x | 36 | 8% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=3.5 |
1.3% | -49.7% | 0.16 | 0.03 | 1.4x | 82 | 29% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
1.0% | -28.8% | 0.15 | 0.03 | 1.3x | 38 | 12% |
| Supertrend period=10, mult=3.2 |
-2.2% | -84.5% | 0.02 | -0.03 | 0.6x | 204 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.7% | -88.1% | -0.03 | -0.04 | 0.4x | 435 | 50% |
| Buy and hold | 3.5% | -68.6% | 0.27 | 0.05 | 2.5x | 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 31-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 31-day average falls below the 155-day average