Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Subsea 7 S.A. backtest
10 trend-following strategies were compared on the full daily history of Subsea 7 S.A.. 7 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 15.0%, MDD -50.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.8%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.0%, MDD -50.7%, Sharpe 0.63, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 15.0%, MDD -50.7%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=156, exitN=103 |
15.0% | -50.7% | 0.63 | 0.30 | 41.3x | 15 | 48% |
| EMA 크로스오버 fast=22, slow=239 |
10.7% | -60.0% | 0.51 | 0.18 | 14.9x | 37 | 55% |
| SMA 크로스오버 fast=24, slow=218 |
9.0% | -66.2% | 0.44 | 0.14 | 9.8x | 47 | 56% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=1.8 |
7.1% | -53.3% | 0.39 | 0.13 | 6.2x | 138 | 44% |
| Supertrend period=28, mult=4.8 |
6.2% | -74.4% | 0.35 | 0.08 | 5.0x | 96 | 52% |
| ROC 모멘텀 n=141, threshold=-0.03 |
6.1% | -84.8% | 0.34 | 0.07 | 4.9x | 191 | 62% |
| MACD fast=22, slow=54, signal=27 |
5.8% | -70.1% | 0.34 | 0.08 | 4.5x | 210 | 52% |
| ADX / DI 방향성 period=26, threshold=11 |
4.0% | -63.4% | 0.28 | 0.06 | 2.8x | 310 | 47% |
| 볼린저 밴드 돌파 n=49, k=0.9 |
3.5% | -68.7% | 0.26 | 0.05 | 2.5x | 196 | 47% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-2.4% | -91.7% | 0.09 | -0.03 | 0.5x | 648 | 52% |
| Buy and hold | 4.8% | -94.8% | 0.34 | 0.05 | 3.5x | 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 156 days
- Sell — Sell when price breaks below the lowest low of the last 103 days