Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Yang Ming Marine Transport Corp. backtest
10 trend-following strategies were compared on the full daily history of Yang Ming Marine Transport Corp.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.8%, MDD -46.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.9%, drawdown -93.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.2%, MDD -60.7%, Sharpe 0.74, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.3%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 8.8%, MDD -46.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=138, threshold=0.19 |
17.2% | -60.7% | 0.74 | 0.28 | 68.6x | 104 | 23% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
11.8% | -48.6% | 0.64 | 0.24 | 19.3x | 47 | 10% |
| Donchian 채널 돌파 entryN=83, exitN=8 |
11.1% | -53.3% | 0.62 | 0.21 | 16.7x | 83 | 12% |
| ADX / DI 방향성 period=51, threshold=28 |
8.8% | -46.0% | 0.57 | 0.19 | 9.5x | 6 | 4% |
| Parabolic SAR step=0.01, maxStep=0.18 |
12.9% | -61.9% | 0.55 | 0.21 | 25.5x | 297 | 48% |
| Supertrend period=24, mult=3.4 |
12.4% | -64.4% | 0.55 | 0.19 | 22.5x | 160 | 41% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=3.2 |
11.1% | -60.6% | 0.54 | 0.18 | 16.5x | 79 | 21% |
| EMA 크로스오버 fast=20, slow=80 |
11.7% | -78.0% | 0.52 | 0.15 | 19.2x | 79 | 41% |
| SMA 크로스오버 fast=15, slow=78 |
10.4% | -74.1% | 0.48 | 0.14 | 14.0x | 101 | 43% |
| MACD fast=10, slow=59, signal=10 |
6.7% | -67.8% | 0.37 | 0.10 | 5.6x | 415 | 53% |
| Buy and hold | 3.9% | -93.5% | 0.30 | 0.04 | 2.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 138-day return is greater than 19%
- Sell — Sell when the 138-day return drops to 19% or below