Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Great Eastern Shipping Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Great Eastern Shipping Co. Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.0%, MDD -51.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.5%, drawdown -74.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.0%, MDD -51.6%, Sharpe 0.66, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 22.4%p (CAGR 17.0%, MDD -51.6%, exposure 66%).
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=63, exitN=75 |
17.0% | -51.6% | 0.66 | 0.33 | 44.0x | 27 | 66% |
| ROC 모멘텀 n=80, threshold=-0.11 |
16.4% | -69.1% | 0.62 | 0.24 | 38.9x | 177 | 81% |
| SMA 크로스오버 fast=45, slow=115 |
15.1% | -65.5% | 0.60 | 0.23 | 29.5x | 46 | 62% |
| EMA 크로스오버 fast=31, slow=71 |
14.7% | -59.0% | 0.60 | 0.25 | 27.1x | 62 | 62% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=27, mult=1.1 |
11.9% | -63.9% | 0.54 | 0.19 | 14.9x | 120 | 52% |
| Supertrend period=23, mult=4 |
9.9% | -81.1% | 0.48 | 0.12 | 9.8x | 80 | 57% |
| 볼린저 밴드 돌파 n=18, k=3.1 |
3.9% | -34.7% | 0.35 | 0.11 | 2.5x | 62 | 11% |
| MACD fast=19, slow=62, signal=9 |
2.9% | -83.0% | 0.24 | 0.03 | 2.0x | 330 | 51% |
| ADX / DI 방향성 period=39, threshold=22 |
2.3% | -50.4% | 0.22 | 0.05 | 1.7x | 42 | 14% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-1.4% | -81.0% | 0.09 | -0.02 | 0.7x | 430 | 53% |
| Buy and hold | 17.5% | -74.1% | 0.60 | 0.24 | 48.2x | 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 63 days
- Sell — Sell when price breaks below the lowest low of the last 75 days