Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Pacific Basin Shipping Limited backtest
10 trend-following strategies were compared on the full daily history of Pacific Basin Shipping Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.6%, MDD -58.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.7%, drawdown -94.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -58.4%, Sharpe 0.45, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 9.6%, MDD -58.4%, exposure 51%).
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=39, slow=108 |
9.6% | -58.4% | 0.45 | 0.16 | 7.6x | 50 | 51% |
| EMA 크로스오버 fast=50, slow=204 |
7.1% | -67.8% | 0.38 | 0.10 | 4.5x | 27 | 48% |
| ROC 모멘텀 n=70, threshold=0.04 |
4.6% | -65.5% | 0.30 | 0.07 | 2.7x | 246 | 44% |
| Donchian 채널 돌파 entryN=99, exitN=80 |
4.4% | -69.4% | 0.30 | 0.06 | 2.6x | 30 | 46% |
| Supertrend period=14, mult=4.8 |
1.2% | -85.4% | 0.21 | 0.01 | 1.3x | 63 | 54% |
| ADX / DI 방향성 period=32, threshold=23 |
1.8% | -45.1% | 0.20 | 0.04 | 1.5x | 36 | 9% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.1% | -83.7% | 0.14 | -0.01 | 0.8x | 169 | 49% |
| 볼린저 밴드 돌파 n=56, k=3.2 |
-0.8% | -63.7% | 0.06 | -0.01 | 0.8x | 32 | 16% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=3 |
-3.4% | -81.2% | -0.02 | -0.04 | 0.5x | 74 | 25% |
| MACD fast=14, slow=32, signal=14 |
-9.3% | -95.9% | -0.12 | -0.10 | 0.1x | 339 | 49% |
| Buy and hold | 2.7% | -94.6% | 0.30 | 0.03 | 1.8x | 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 39-day average price crosses above the 108-day average
- Sell — Sell (to cash) when the 39-day average falls below the 108-day average