Trend-Following Backtester · Guide · backtest 한국어
equity · NO
BW LPG Limited backtest
10 trend-following strategies were compared on the full daily history of BW LPG Limited. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.6%, MDD -47.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.3%, drawdown -79.4%).
Sharpe leader (same as main): MACD — CAGR 24.1%, MDD -49.2%, Sharpe 0.83, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 15.6%, MDD -47.8%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=59, signal=17 |
24.1% | -49.2% | 0.83 | 0.49 | 15.6x | 121 | 51% |
| 볼린저 밴드 돌파 n=21, k=1.8 |
16.5% | -48.4% | 0.71 | 0.34 | 7.0x | 111 | 36% |
| Parabolic SAR step=0.02, maxStep=0.12 |
17.7% | -59.4% | 0.67 | 0.30 | 7.9x | 239 | 53% |
| SMA 크로스오버 fast=25, slow=64 |
16.9% | -50.1% | 0.65 | 0.34 | 7.3x | 49 | 55% |
| Donchian 채널 돌파 entryN=31, exitN=48 |
16.9% | -64.6% | 0.63 | 0.26 | 7.3x | 33 | 61% |
| Supertrend period=20, mult=2.7 |
15.6% | -47.8% | 0.62 | 0.33 | 6.3x | 105 | 48% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=1.2 |
11.8% | -52.8% | 0.53 | 0.22 | 4.1x | 103 | 46% |
| EMA 크로스오버 fast=15, slow=51 |
12.1% | -66.9% | 0.52 | 0.18 | 4.3x | 63 | 56% |
| ROC 모멘텀 n=38, threshold=-0.02 |
12.3% | -60.0% | 0.51 | 0.20 | 4.4x | 197 | 58% |
| ADX / DI 방향성 period=11, threshold=12 |
9.5% | -50.8% | 0.44 | 0.19 | 3.2x | 299 | 53% |
| Buy and hold | 12.3% | -79.4% | 0.48 | 0.15 | 4.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/59) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line