Trend-Following Backtester · Guide · backtest 한국어
equity · US
Norwegian Cruise Line Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Norwegian Cruise Line Holdings Ltd.. 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 0.4%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.1%, drawdown -87.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -0.5%, Sharpe 0.39, 0% exposure.
CAGR reference leader: MACD — CAGR 6.6%, MDD -73.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 87.3%p (CAGR 0.4%, MDD -0.5%, exposure 0%).
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=33, threshold=30 |
0.4% | -0.5% | 0.39 | 0.89 | 1.1x | 2 | 0% |
| MACD fast=14, slow=60, signal=13 |
6.6% | -73.6% | 0.36 | 0.09 | 2.4x | 162 | 49% |
| Donchian 채널 돌파 entryN=7, exitN=50 |
3.0% | -70.6% | 0.30 | 0.04 | 1.5x | 60 | 85% |
| SMA 크로스오버 fast=59, slow=79 |
2.1% | -63.4% | 0.23 | 0.03 | 1.3x | 57 | 55% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=19, mult=2.2 |
1.3% | -45.0% | 0.17 | 0.03 | 1.2x | 68 | 24% |
| Supertrend period=26, mult=3.3 |
0.1% | -66.0% | 0.16 | 0.00 | 1.0x | 84 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.1% | -81.1% | 0.13 | -0.03 | 0.7x | 118 | 54% |
| ROC 모멘텀 n=73, threshold=0.12 |
-0.3% | -58.4% | 0.11 | -0.00 | 1.0x | 156 | 28% |
| EMA 크로스오버 fast=34, slow=44 |
-5.6% | -77.7% | -0.03 | -0.07 | 0.5x | 60 | 54% |
| 볼린저 밴드 돌파 n=49, k=3 |
-2.5% | -52.4% | -0.07 | -0.05 | 0.7x | 16 | 8% |
| Buy and hold | -3.1% | -87.8% | 0.22 | -0.04 | 0.6x | 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, 33-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)