Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nordic American Tankers Limited backtest
10 trend-following strategies were compared on the full daily history of Nordic American Tankers Limited. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -55.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.5%, drawdown -97.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.4%, MDD -85.0%, Sharpe 0.23, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 2.2%, MDD -55.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=200 |
2.4% | -85.0% | 0.23 | 0.03 | 2.0x | 39 | 39% |
| 볼린저 밴드 돌파 n=12, k=2.6 |
2.2% | -55.2% | 0.21 | 0.04 | 1.9x | 94 | 7% |
| SMA 크로스오버 fast=40, slow=190 |
1.7% | -90.5% | 0.21 | 0.02 | 1.6x | 47 | 40% |
| ROC 모멘텀 n=135, threshold=0.14 |
2.0% | -82.7% | 0.21 | 0.02 | 1.7x | 191 | 27% |
| Donchian 채널 돌파 entryN=56, exitN=71 |
0.2% | -94.2% | 0.17 | 0.00 | 1.1x | 51 | 52% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-1.1% | -87.3% | 0.12 | -0.01 | 0.7x | 333 | 46% |
| MACD fast=19, slow=51, signal=16 |
-2.1% | -89.5% | 0.10 | -0.02 | 0.5x | 299 | 52% |
| ADX / DI 방향성 period=29, threshold=13 |
-1.7% | -87.6% | 0.08 | -0.02 | 0.6x | 245 | 25% |
| Supertrend period=9, mult=5 |
-3.7% | -93.9% | 0.05 | -0.04 | 0.3x | 105 | 46% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=2.2 |
-3.6% | -87.7% | -0.02 | -0.04 | 0.3x | 143 | 23% |
| Buy and hold | -3.5% | -97.4% | 0.15 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 200-day EMA
- Sell — Sell when the 53-day EMA falls below the 200-day EMA