Trend-Following Backtester · Guide · backtest 한국어
equity · NO
BW LPG Limited backtest
10 trend-following strategies were compared on the full daily history of BW LPG Limited. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.0%, MDD -47.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.6%, drawdown -79.4%).
Sharpe leader (same as main): MACD — CAGR 23.9%, MDD -49.2%, Sharpe 0.83, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 16.0%, MDD -47.8%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=59, signal=17 |
23.9% | -49.2% | 0.83 | 0.49 | 15.5x | 123 | 52% |
| 볼린저 밴드 돌파 n=21, k=1.8 |
16.0% | -48.4% | 0.70 | 0.33 | 6.7x | 113 | 36% |
| Parabolic SAR step=0.02, maxStep=0.12 |
17.4% | -59.4% | 0.66 | 0.29 | 7.8x | 242 | 53% |
| SMA 크로스오버 fast=25, slow=64 |
17.3% | -50.1% | 0.65 | 0.34 | 7.6x | 49 | 55% |
| Donchian 채널 돌파 entryN=31, exitN=48 |
17.2% | -64.6% | 0.64 | 0.27 | 7.6x | 33 | 61% |
| Supertrend period=20, mult=2.7 |
16.0% | -47.8% | 0.63 | 0.33 | 6.6x | 105 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=1.2 |
12.2% | -52.8% | 0.54 | 0.23 | 4.3x | 103 | 47% |
| EMA 크로스오버 fast=15, slow=51 |
12.5% | -66.9% | 0.52 | 0.19 | 4.5x | 63 | 56% |
| ROC 모멘텀 n=38, threshold=-0.02 |
12.6% | -60.0% | 0.52 | 0.21 | 4.6x | 197 | 58% |
| ADX / DI 방향성 period=11, threshold=12 |
9.8% | -50.8% | 0.45 | 0.19 | 3.3x | 300 | 53% |
| Buy and hold | 12.6% | -79.4% | 0.49 | 0.16 | 4.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/59) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line