Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Odfjell Drilling Ltd. backtest
10 trend-following strategies were compared on the full daily history of Odfjell Drilling Ltd.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.8%, MDD -28.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.8%, drawdown -89.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.2%, MDD -42.7%, Sharpe 0.87, 62% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 11.8%, MDD -28.4%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=107, slow=153 |
25.2% | -42.7% | 0.87 | 0.59 | 18.3x | 7 | 62% |
| Donchian 채널 돌파 entryN=111, exitN=83 |
23.3% | -44.5% | 0.84 | 0.52 | 15.0x | 10 | 53% |
| ROC 모멘텀 n=125, threshold=0.12 |
21.7% | -40.3% | 0.82 | 0.54 | 12.7x | 86 | 44% |
| SMA 크로스오버 fast=45, slow=153 |
23.4% | -49.9% | 0.82 | 0.47 | 15.2x | 20 | 57% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=3.4 |
12.8% | -43.1% | 0.73 | 0.30 | 4.7x | 26 | 21% |
| ADX / DI 방향성 period=21, threshold=13 |
17.5% | -43.9% | 0.68 | 0.40 | 8.0x | 161 | 45% |
| Parabolic SAR step=0.01, maxStep=0.16 |
17.3% | -64.6% | 0.67 | 0.27 | 7.9x | 161 | 49% |
| 볼린저 밴드 돌파 n=14, k=2.5 |
11.8% | -28.4% | 0.66 | 0.42 | 4.3x | 74 | 19% |
| Supertrend period=16, mult=2.5 |
14.8% | -46.2% | 0.62 | 0.32 | 6.0x | 95 | 49% |
| MACD fast=18, slow=59, signal=19 |
5.1% | -74.5% | 0.31 | 0.07 | 1.9x | 135 | 52% |
| Buy and hold | 7.8% | -89.9% | 0.39 | 0.09 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 107-day EMA crosses above the 153-day EMA
- Sell — Sell when the 107-day EMA falls below the 153-day EMA