Trend-Following Backtester · Guide · backtest 한국어
equity · US
Global Ship Lease Inc New backtest
10 trend-following strategies were compared on the full daily history of Global Ship Lease Inc New. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -61.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.8%, drawdown -95.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.4%, MDD -72.3%, Sharpe 0.68, 54% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.4%, MDD -68.7%, exposure 60%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 10.6%, MDD -61.3%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=22, slow=161 |
19.4% | -72.3% | 0.68 | 0.27 | 24.3x | 25 | 54% |
| ROC 모멘텀 n=101, threshold=-0.04 |
20.4% | -68.7% | 0.67 | 0.30 | 28.1x | 123 | 60% |
| EMA 크로스오버 fast=49, slow=74 |
15.8% | -68.5% | 0.59 | 0.23 | 14.0x | 31 | 53% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=29, mult=1.2 |
10.6% | -61.3% | 0.46 | 0.17 | 6.1x | 97 | 42% |
| Donchian 채널 돌파 entryN=87, exitN=77 |
10.8% | -77.6% | 0.46 | 0.14 | 6.3x | 23 | 56% |
| ADX / DI 방향성 period=38, threshold=12 |
9.9% | -75.4% | 0.45 | 0.13 | 5.5x | 92 | 31% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
8.5% | -66.5% | 0.41 | 0.13 | 4.3x | 101 | 39% |
| Supertrend period=16, mult=3.9 |
6.4% | -66.1% | 0.35 | 0.10 | 3.1x | 79 | 45% |
| Parabolic SAR step=0.02, maxStep=0.18 |
5.9% | -83.3% | 0.35 | 0.07 | 2.8x | 345 | 49% |
| MACD fast=10, slow=38, signal=7 |
0.9% | -83.0% | 0.24 | 0.01 | 1.2x | 361 | 51% |
| Buy and hold | -1.8% | -95.6% | 0.26 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 22-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 22-day average falls below the 161-day average