Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Stolt-Nielsen Limited backtest
10 trend-following strategies were compared on the full daily history of Stolt-Nielsen Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.2%, MDD -31.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.8%, drawdown -85.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.7%, MDD -44.5%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 4.2%, MDD -31.7%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=165 |
10.7% | -44.5% | 0.54 | 0.24 | 13.3x | 37 | 50% |
| Supertrend period=39, mult=5 |
10.2% | -67.1% | 0.53 | 0.15 | 11.8x | 60 | 47% |
| Donchian 채널 돌파 entryN=86, exitN=34 |
9.2% | -48.8% | 0.52 | 0.19 | 9.3x | 46 | 39% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=25, mult=2.2 |
8.8% | -38.6% | 0.50 | 0.23 | 8.6x | 76 | 39% |
| EMA 크로스오버 fast=14, slow=111 |
9.5% | -43.2% | 0.50 | 0.22 | 10.0x | 63 | 50% |
| ROC 모멘텀 n=73, threshold=0.07 |
5.4% | -54.6% | 0.35 | 0.10 | 3.8x | 262 | 39% |
| 볼린저 밴드 돌파 n=17, k=2.6 |
4.2% | -31.7% | 0.35 | 0.13 | 2.8x | 124 | 16% |
| ADX / DI 방향성 period=11, threshold=42 |
2.0% | -39.9% | 0.25 | 0.05 | 1.6x | 76 | 7% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-0.1% | -82.9% | 0.13 | -0.00 | 1.0x | 503 | 50% |
| MACD fast=8, slow=26, signal=12 |
-3.3% | -87.4% | 0.01 | -0.04 | 0.4x | 531 | 51% |
| Buy and hold | 2.8% | -85.4% | 0.27 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 32-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 32-day average falls below the 165-day average