Trend-Following Backtester · Guide · backtest 한국어
equity · NO
MPC Container Ships ASA backtest
10 trend-following strategies were compared on the full daily history of MPC Container Ships ASA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.4%, MDD -28.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.3%, drawdown -95.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.4%, MDD -29.8%, Sharpe 1.09, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.9%, MDD -39.1%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 65.6%p (CAGR 16.4%, MDD -28.1%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=26 |
18.4% | -29.8% | 1.09 | 0.62 | 4.8x | 2 | 7% |
| ROC 모멘텀 n=83, threshold=0.22 |
25.4% | -34.0% | 1.02 | 0.75 | 8.1x | 34 | 22% |
| 볼린저 밴드 돌파 n=26, k=2.9 |
17.4% | -30.8% | 0.98 | 0.57 | 4.4x | 19 | 12% |
| Donchian 채널 돌파 entryN=54, exitN=84 |
29.9% | -39.1% | 0.97 | 0.77 | 11.3x | 9 | 54% |
| SMA 크로스오버 fast=16, slow=90 |
28.2% | -35.9% | 0.97 | 0.78 | 9.9x | 25 | 45% |
| Supertrend period=7, mult=4.6 |
25.5% | -42.8% | 0.90 | 0.60 | 8.2x | 31 | 46% |
| EMA 크로스오버 fast=33, slow=42 |
24.8% | -51.2% | 0.89 | 0.48 | 7.8x | 27 | 45% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=18, mult=2.8 |
16.4% | -28.1% | 0.89 | 0.58 | 4.1x | 27 | 14% |
| MACD fast=16, slow=49, signal=19 |
7.1% | -74.4% | 0.37 | 0.10 | 1.9x | 85 | 47% |
| Parabolic SAR step=0.03, maxStep=0.18 |
4.2% | -59.4% | 0.29 | 0.07 | 1.5x | 223 | 49% |
| Buy and hold | 1.3% | -95.4% | 0.31 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)