Trend-Following Backtester · Guide · backtest 한국어
equity · US
Scorpio Tankers Inc. backtest
10 trend-following strategies were compared on the full daily history of Scorpio Tankers Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.3%, MDD -9.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.9%, drawdown -93.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -42.6%, Sharpe 0.61, 35% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 2.3%, MDD -9.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=132, threshold=0.13 |
12.9% | -42.6% | 0.61 | 0.30 | 7.3x | 67 | 35% |
| SMA 크로스오버 fast=23, slow=162 |
11.9% | -45.3% | 0.55 | 0.26 | 6.3x | 23 | 41% |
| Donchian 채널 돌파 entryN=66, exitN=41 |
10.6% | -36.8% | 0.52 | 0.29 | 5.2x | 28 | 38% |
| EMA 크로스오버 fast=49, slow=169 |
10.6% | -50.0% | 0.52 | 0.21 | 5.2x | 17 | 39% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
2.3% | -9.3% | 0.45 | 0.24 | 1.4x | 4 | 2% |
| Supertrend period=10, mult=5 |
3.6% | -82.2% | 0.27 | 0.04 | 1.8x | 42 | 57% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=3.9 |
0.9% | -38.0% | 0.13 | 0.02 | 1.2x | 18 | 7% |
| ADX / DI 방향성 period=32, threshold=21 |
0.6% | -46.7% | 0.11 | 0.01 | 1.1x | 26 | 9% |
| MACD fast=16, slow=52, signal=22 |
-3.9% | -81.2% | 0.06 | -0.05 | 0.5x | 175 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-6.2% | -92.7% | -0.02 | -0.07 | 0.4x | 217 | 52% |
| Buy and hold | -2.9% | -93.2% | 0.19 | -0.03 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 132-day return is greater than 13%
- Sell — Sell when the 132-day return drops to 13% or below