Trend-Following Backtester · Guide · backtest 한국어
equity · SA
National Shipping Co. of Saudi Arabia backtest
10 trend-following strategies were compared on the full daily history of National Shipping Co. of Saudi Arabia. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.4%, drawdown -73.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.8%, MDD -25.3%, Sharpe 0.46, 18% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.8%, MDD -68.7%, exposure 89%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=23 |
4.8% | -25.3% | 0.46 | 0.19 | 2.2x | 52 | 18% |
| Donchian 채널 돌파 entryN=5, exitN=69 |
9.8% | -68.7% | 0.39 | 0.14 | 4.7x | 61 | 89% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.3% | -64.6% | 0.34 | 0.11 | 3.2x | 111 | 51% |
| Supertrend period=6, mult=4.3 |
6.7% | -61.0% | 0.33 | 0.11 | 2.9x | 79 | 52% |
| ROC 모멘텀 n=142, threshold=-0.04 |
5.9% | -68.6% | 0.32 | 0.09 | 2.6x | 117 | 66% |
| MACD fast=15, slow=31, signal=15 |
5.1% | -66.3% | 0.30 | 0.08 | 2.3x | 195 | 48% |
| SMA 크로스오버 fast=17, slow=38 |
3.4% | -66.0% | 0.27 | 0.05 | 1.7x | 121 | 50% |
| 볼린저 밴드 돌파 n=23, k=1.9 |
0.1% | -83.4% | 0.19 | 0.00 | 1.0x | 127 | 30% |
| EMA 크로스오버 fast=18, slow=135 |
-1.1% | -62.8% | 0.17 | -0.02 | 0.8x | 45 | 58% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=8, mult=2 |
-1.2% | -82.2% | 0.16 | -0.01 | 0.8x | 95 | 33% |
| Buy and hold | 9.4% | -73.5% | 0.39 | 0.13 | 4.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)