Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Cadeler A/S backtest
10 trend-following strategies were compared on the full daily history of Cadeler A/S. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.0%, drawdown -47.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.0%, MDD -11.2%, Sharpe 0.79, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.4%, MDD -36.7%, exposure 80%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=36, k=3.3 |
7.0% | -11.2% | 0.79 | 0.63 | 1.5x | 5 | 9% |
| Parabolic SAR step=0.035, maxStep=0.18 |
10.2% | -31.5% | 0.50 | 0.32 | 1.8x | 165 | 51% |
| Donchian 채널 돌파 entryN=11, exitN=69 |
10.4% | -36.7% | 0.47 | 0.28 | 1.8x | 13 | 80% |
| ADX / DI 방향성 period=14, threshold=36 |
3.9% | -12.9% | 0.45 | 0.30 | 1.2x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=25, mult=2.5 |
5.3% | -21.6% | 0.44 | 0.25 | 1.3x | 16 | 16% |
| SMA 크로스오버 fast=22, slow=116 |
3.9% | -37.1% | 0.29 | 0.11 | 1.2x | 18 | 48% |
| MACD fast=10, slow=47, signal=6 |
3.7% | -46.3% | 0.27 | 0.08 | 1.2x | 105 | 51% |
| Supertrend period=19, mult=4 |
3.0% | -55.3% | 0.24 | 0.05 | 1.2x | 25 | 44% |
| ROC 모멘텀 n=113, threshold=0.09 |
2.6% | -26.9% | 0.23 | 0.10 | 1.2x | 54 | 38% |
| EMA 크로스오버 fast=38, slow=65 |
2.2% | -40.9% | 0.21 | 0.05 | 1.1x | 20 | 52% |
| Buy and hold | 17.0% | -47.9% | 0.62 | 0.36 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 36-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 36-day middle average