Trend-Following Backtester · Guide · backtest 한국어
equity · DK
A.P. Moller - Maersk A/S Class A backtest
10 trend-following strategies were compared on the full daily history of A.P. Moller - Maersk A/S Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.9%, MDD -49.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.3%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -61.5%, Sharpe 0.44, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 7.1%p (CAGR 5.9%, MDD -49.9%, exposure 44%).
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=31, slow=155 |
7.8% | -61.5% | 0.44 | 0.13 | 7.4x | 49 | 54% |
| ROC 모멘텀 n=224, threshold=0.06 |
5.9% | -49.9% | 0.38 | 0.12 | 4.6x | 141 | 44% |
| EMA 크로스오버 fast=45, slow=137 |
5.2% | -65.6% | 0.34 | 0.08 | 3.9x | 51 | 54% |
| Donchian 채널 돌파 entryN=138, exitN=73 |
4.0% | -48.0% | 0.30 | 0.08 | 2.8x | 31 | 41% |
| MACD fast=18, slow=45, signal=17 |
2.8% | -74.5% | 0.24 | 0.04 | 2.1x | 283 | 51% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
1.5% | -28.8% | 0.19 | 0.05 | 1.5x | 39 | 12% |
| ADX / DI 방향성 period=25, threshold=27 |
1.1% | -23.5% | 0.17 | 0.05 | 1.3x | 37 | 8% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=3.5 |
1.5% | -49.7% | 0.17 | 0.03 | 1.5x | 83 | 29% |
| Supertrend period=10, mult=3.2 |
-1.8% | -84.5% | 0.04 | -0.02 | 0.6x | 205 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.4% | -88.1% | -0.01 | -0.04 | 0.4x | 437 | 50% |
| Buy and hold | 4.3% | -68.6% | 0.30 | 0.06 | 3.1x | 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 31-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 31-day average falls below the 155-day average