Trend-Following Backtester · Guide · backtest 한국어
equity · US
International Seaways, Inc. backtest
10 trend-following strategies were compared on the full daily history of International Seaways, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 26.4%, drawdown -57.9%).
Sharpe leader (same as main): Supertrend — CAGR 15.8%, MDD -53.6%, Sharpe 0.61, 59% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=5 |
15.8% | -53.6% | 0.61 | 0.30 | 4.2x | 25 | 59% |
| SMA 크로스오버 fast=72, slow=148 |
15.3% | -49.3% | 0.60 | 0.31 | 4.0x | 15 | 54% |
| ROC 모멘텀 n=95, threshold=0.09 |
11.2% | -51.6% | 0.54 | 0.22 | 2.8x | 87 | 44% |
| ADX / DI 방향성 period=24, threshold=30 |
5.4% | -19.3% | 0.52 | 0.28 | 1.7x | 14 | 8% |
| Donchian 채널 돌파 entryN=11, exitN=50 |
13.1% | -57.3% | 0.51 | 0.23 | 3.3x | 37 | 81% |
| EMA 크로스오버 fast=39, slow=62 |
11.6% | -71.0% | 0.50 | 0.16 | 2.9x | 25 | 59% |
| 볼린저 밴드 돌파 n=14, k=1.8 |
5.4% | -52.3% | 0.34 | 0.10 | 1.7x | 127 | 34% |
| MACD fast=19, slow=45, signal=19 |
4.8% | -69.0% | 0.31 | 0.07 | 1.6x | 105 | 50% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=27, mult=0.7 |
4.1% | -74.3% | 0.28 | 0.05 | 1.5x | 139 | 48% |
| Parabolic SAR step=0.05, maxStep=0.16 |
3.1% | -49.6% | 0.26 | 0.06 | 1.3x | 307 | 53% |
| Buy and hold | 26.4% | -57.9% | 0.72 | 0.46 | 9.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)