Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tidewater Inc. backtest
10 trend-following strategies were compared on the full daily history of Tidewater Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -50.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.7%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -79.6%, Sharpe 0.29, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 1.1%, MDD -50.5%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=157 |
4.2% | -79.6% | 0.29 | 0.05 | 6.8x | 83 | 51% |
| Donchian 채널 돌파 entryN=93, exitN=68 |
3.7% | -82.2% | 0.27 | 0.04 | 5.3x | 72 | 45% |
| EMA 크로스오버 fast=55, slow=72 |
2.7% | -79.6% | 0.24 | 0.03 | 3.4x | 98 | 51% |
| Supertrend period=16, mult=4.6 |
1.2% | -89.3% | 0.20 | 0.01 | 1.7x | 170 | 50% |
| ADX / DI 방향성 period=26, threshold=24 |
1.1% | -50.5% | 0.15 | 0.02 | 1.7x | 100 | 9% |
| ROC 모멘텀 n=127, threshold=0 |
-0.5% | -95.1% | 0.14 | -0.01 | 0.8x | 415 | 52% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=23, mult=3.3 |
0.2% | -88.7% | 0.13 | 0.00 | 1.1x | 140 | 28% |
| 볼린저 밴드 돌파 n=62, k=3.3 |
0.4% | -72.9% | 0.10 | 0.01 | 1.2x | 32 | 8% |
| MACD fast=15, slow=50, signal=11 |
-7.2% | -99.6% | -0.02 | -0.07 | 0.0x | 643 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-9.3% | -99.9% | -0.11 | -0.09 | 0.0x | 1020 | 50% |
| Buy and hold | -4.7% | -99.8% | 0.16 | -0.05 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 49-day average falls below the 157-day average