Trend-Following Backtester · Guide · backtest 한국어
equity · IT
d'Amico International Shipping S.A. backtest
10 trend-following strategies were compared on the full daily history of d'Amico International Shipping S.A.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.2%, MDD -31.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.0%, drawdown -98.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.8%, MDD -33.3%, Sharpe 0.76, 26% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 64.8%p (CAGR 14.2%, MDD -31.0%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=125, exitN=37 |
14.8% | -33.3% | 0.76 | 0.45 | 14.3x | 14 | 26% |
| 볼린저 밴드 돌파 n=76, k=2.4 |
14.2% | -31.0% | 0.73 | 0.46 | 12.9x | 26 | 25% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=20, mult=3.8 |
12.7% | -37.1% | 0.67 | 0.34 | 9.9x | 22 | 27% |
| ROC 모멘텀 n=90, threshold=0.09 |
12.4% | -42.4% | 0.62 | 0.29 | 9.5x | 126 | 32% |
| SMA 크로스오버 fast=57, slow=102 |
12.2% | -48.3% | 0.57 | 0.25 | 9.2x | 38 | 42% |
| EMA 크로스오버 fast=18, slow=169 |
11.2% | -55.3% | 0.57 | 0.20 | 7.8x | 25 | 35% |
| ADX / DI 방향성 period=37, threshold=18 |
8.2% | -52.1% | 0.48 | 0.16 | 4.6x | 44 | 22% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.7% | -59.8% | 0.37 | 0.11 | 3.5x | 145 | 45% |
| Supertrend period=8, mult=4.4 |
5.8% | -79.0% | 0.34 | 0.07 | 3.0x | 50 | 55% |
| MACD fast=22, slow=35, signal=16 |
-3.9% | -85.0% | 0.01 | -0.05 | 0.5x | 215 | 52% |
| Buy and hold | -7.0% | -98.0% | 0.03 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 125 days
- Sell — Sell when price breaks below the lowest low of the last 37 days