Trend-Following Backtester · Guide · backtest 한국어
equity · US
SFL Corporation Ltd backtest
10 trend-following strategies were compared on the full daily history of SFL Corporation Ltd. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -12.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.8%, drawdown -87.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -54.3%, Sharpe 0.25, 67% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR -0.3%, MDD -12.1%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=47, exitN=102 |
3.3% | -54.3% | 0.25 | 0.06 | 2.0x | 33 | 67% |
| EMA 크로스오버 fast=41, slow=95 |
2.6% | -57.1% | 0.23 | 0.05 | 1.8x | 49 | 52% |
| SMA 크로스오버 fast=25, slow=156 |
2.1% | -54.8% | 0.21 | 0.04 | 1.6x | 45 | 51% |
| 볼린저 밴드 돌파 n=38, k=2 |
0.7% | -61.2% | 0.13 | 0.01 | 1.2x | 97 | 28% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=11, mult=1.9 |
-0.6% | -77.0% | 0.05 | -0.01 | 0.9x | 135 | 28% |
| Supertrend period=28, mult=4.7 |
-2.1% | -85.4% | 0.02 | -0.03 | 0.6x | 77 | 49% |
| Parabolic SAR step=0.02, maxStep=0.3 |
-3.3% | -81.1% | -0.01 | -0.04 | 0.5x | 459 | 50% |
| MACD fast=18, slow=27, signal=19 |
-4.6% | -89.1% | -0.05 | -0.05 | 0.3x | 297 | 51% |
| ROC 모멘텀 n=88, threshold=-0.03 |
-4.3% | -79.6% | -0.08 | -0.05 | 0.4x | 249 | 58% |
| ADX / DI 방향성 period=18, threshold=38 |
-0.3% | -12.1% | -0.14 | -0.03 | 0.9x | 4 | 1% |
| Buy and hold | -0.8% | -87.5% | 0.18 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 47 days
- Sell — Sell when price breaks below the lowest low of the last 102 days