Trend-Following Backtester · Guide · backtest 한국어
equity · US
Danaos Corporation backtest
10 trend-following strategies were compared on the full daily history of Danaos Corporation. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.3%, MDD -24.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.2%, drawdown -99.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.3%, MDD -24.6%, Sharpe 0.65, 4% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 11.9%, MDD -55.6%, exposure 19%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 74.9%p (CAGR 9.3%, MDD -24.6%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=28 |
9.3% | -24.6% | 0.65 | 0.38 | 5.9x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=3.6 |
11.9% | -55.6% | 0.58 | 0.21 | 9.4x | 33 | 19% |
| Donchian 채널 돌파 entryN=88, exitN=7 |
8.6% | -49.3% | 0.46 | 0.18 | 5.2x | 71 | 16% |
| 볼린저 밴드 돌파 n=31, k=2.7 |
9.7% | -63.5% | 0.45 | 0.15 | 6.3x | 77 | 21% |
| EMA 크로스오버 fast=51, slow=160 |
9.4% | -75.0% | 0.42 | 0.13 | 6.0x | 25 | 43% |
| SMA 크로스오버 fast=28, slow=169 |
9.4% | -88.0% | 0.42 | 0.11 | 6.0x | 39 | 45% |
| Parabolic SAR step=0.015, maxStep=0.2 |
9.4% | -83.8% | 0.42 | 0.11 | 5.9x | 319 | 49% |
| Supertrend period=13, mult=3.8 |
9.1% | -85.1% | 0.42 | 0.11 | 5.6x | 77 | 44% |
| ROC 모멘텀 n=122, threshold=0.03 |
7.8% | -87.7% | 0.39 | 0.09 | 4.4x | 155 | 45% |
| MACD fast=10, slow=37, signal=15 |
-5.8% | -95.7% | 0.08 | -0.06 | 0.3x | 327 | 51% |
| Buy and hold | -3.2% | -99.5% | 0.27 | -0.03 | 0.5x | 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, 39-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)