Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Royal Vopak NV backtest
10 trend-following strategies were compared on the full daily history of Royal Vopak NV. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -40.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -70.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -45.9%, Sharpe 0.56, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 7.0%, MDD -40.8%, exposure 54%).
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=57, slow=122 |
9.0% | -45.9% | 0.56 | 0.20 | 10.1x | 45 | 55% |
| Donchian 채널 돌파 entryN=74, exitN=66 |
7.3% | -48.3% | 0.50 | 0.15 | 6.6x | 43 | 52% |
| EMA 크로스오버 fast=43, slow=72 |
7.0% | -40.8% | 0.47 | 0.17 | 6.1x | 51 | 54% |
| ROC 모멘텀 n=74, threshold=0.01 |
5.5% | -61.5% | 0.39 | 0.09 | 4.2x | 243 | 53% |
| 볼린저 밴드 돌파 n=72, k=2.5 |
3.6% | -29.3% | 0.35 | 0.12 | 2.6x | 54 | 27% |
| Supertrend period=18, mult=5 |
4.5% | -68.4% | 0.32 | 0.07 | 3.3x | 81 | 57% |
| ADX / DI 방향성 period=44, threshold=10 |
4.0% | -50.4% | 0.32 | 0.08 | 2.8x | 175 | 43% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=22, mult=3.9 |
2.7% | -40.9% | 0.28 | 0.07 | 2.0x | 62 | 26% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.5% | -84.2% | 0.01 | -0.02 | 0.7x | 229 | 52% |
| MACD fast=18, slow=39, signal=14 |
-4.6% | -89.9% | -0.15 | -0.05 | 0.3x | 351 | 50% |
| Buy and hold | 4.9% | -70.2% | 0.31 | 0.07 | 3.6x | 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 57-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 57-day average falls below the 122-day average