Trend-Following Backtester · Guide · backtest 한국어
equity · DK
TORM PLC Class A backtest
10 trend-following strategies were compared on the full daily history of TORM PLC Class A. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.4%, MDD -51.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.9%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -51.0%, Sharpe 0.40, 23% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 38.3%p higher than buy and hold, while drawdown improves by 49.0%p (CAGR 6.4%, MDD -51.0%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=48, slow=214 |
6.4% | -51.0% | 0.40 | 0.13 | 3.3x | 15 | 23% |
| SMA 크로스오버 fast=56, slow=134 |
1.5% | -75.8% | 0.23 | 0.02 | 1.3x | 31 | 37% |
| 볼린저 밴드 돌파 n=23, k=3.4 |
2.5% | -69.7% | 0.22 | 0.04 | 1.6x | 20 | 3% |
| Donchian 채널 돌파 entryN=36, exitN=65 |
-3.4% | -90.2% | 0.18 | -0.04 | 0.5x | 39 | 50% |
| ADX / DI 방향성 period=34, threshold=30 |
0.5% | -72.6% | 0.17 | 0.01 | 1.1x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=3.3 |
0.1% | -64.9% | 0.14 | 0.00 | 1.0x | 14 | 2% |
| Supertrend period=26, mult=3.1 |
-4.4% | -83.2% | 0.07 | -0.05 | 0.4x | 119 | 37% |
| ROC 모멘텀 n=120, threshold=0.06 |
-4.6% | -92.1% | 0.07 | -0.05 | 0.4x | 115 | 31% |
| Parabolic SAR step=0.05, maxStep=0.38 |
-9.3% | -90.2% | 0.03 | -0.10 | 0.2x | 628 | 44% |
| MACD fast=5, slow=48, signal=9 |
-16.9% | -99.1% | -0.09 | -0.17 | 0.0x | 433 | 52% |
| Buy and hold | -31.9% | -100.0% | -0.17 | -0.32 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 214-day EMA
- Sell — Sell when the 48-day EMA falls below the 214-day EMA