Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Subsea 7 S.A. backtest
10 trend-following strategies were compared on the full daily history of Subsea 7 S.A.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.3%, MDD -50.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.1%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.3%, MDD -50.7%, Sharpe 0.64, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 15.3%, MDD -50.7%, exposure 48%).
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=156, exitN=103 |
15.3% | -50.7% | 0.64 | 0.30 | 44.8x | 15 | 48% |
| EMA 크로스오버 fast=22, slow=239 |
11.0% | -60.0% | 0.52 | 0.18 | 16.1x | 37 | 56% |
| SMA 크로스오버 fast=24, slow=218 |
9.3% | -66.2% | 0.45 | 0.14 | 10.6x | 47 | 56% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=1.8 |
7.1% | -53.3% | 0.39 | 0.13 | 6.2x | 139 | 44% |
| ROC 모멘텀 n=141, threshold=-0.03 |
6.4% | -84.8% | 0.35 | 0.08 | 5.3x | 191 | 62% |
| Supertrend period=28, mult=4.8 |
6.2% | -74.4% | 0.35 | 0.08 | 5.0x | 96 | 51% |
| MACD fast=22, slow=54, signal=27 |
5.6% | -70.1% | 0.33 | 0.08 | 4.3x | 212 | 52% |
| ADX / DI 방향성 period=26, threshold=11 |
4.2% | -63.4% | 0.29 | 0.07 | 3.0x | 311 | 47% |
| 볼린저 밴드 돌파 n=49, k=0.9 |
3.4% | -68.7% | 0.26 | 0.05 | 2.5x | 197 | 47% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-2.3% | -91.7% | 0.10 | -0.02 | 0.5x | 650 | 52% |
| Buy and hold | 5.1% | -94.8% | 0.35 | 0.05 | 3.8x | 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 156 days
- Sell — Sell when price breaks below the lowest low of the last 103 days