Trend-Following Backtester · Guide · backtest 한국어
equity · US
EuroDry Ltd. backtest
10 trend-following strategies were compared on the full daily history of EuroDry Ltd.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 34.3%, MDD -37.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.2%, drawdown -81.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 34.3%, MDD -37.1%, Sharpe 0.85, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 36.6%, MDD -56.6%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 34.3%, MDD -37.1%, exposure 23%).
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=62, threshold=25 |
34.3% | -37.1% | 0.85 | 0.92 | 11.1x | 6 | 23% |
| SMA 크로스오버 fast=22, slow=72 |
36.6% | -56.6% | 0.82 | 0.65 | 12.8x | 25 | 55% |
| EMA 크로스오버 fast=28, slow=59 |
35.8% | -53.6% | 0.81 | 0.67 | 12.1x | 21 | 52% |
| Donchian 채널 돌파 entryN=26, exitN=44 |
36.0% | -65.3% | 0.78 | 0.55 | 12.3x | 15 | 64% |
| ROC 모멘텀 n=52, threshold=-0.02 |
26.7% | -80.0% | 0.69 | 0.33 | 6.9x | 103 | 58% |
| Supertrend period=9, mult=4.5 |
25.2% | -82.2% | 0.65 | 0.31 | 6.3x | 23 | 63% |
| 볼린저 밴드 돌파 n=76, k=2.4 |
18.1% | -69.7% | 0.58 | 0.26 | 3.9x | 20 | 35% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=32, mult=2.9 |
14.2% | -51.5% | 0.52 | 0.28 | 3.0x | 20 | 30% |
| MACD fast=19, slow=56, signal=24 |
8.3% | -76.0% | 0.42 | 0.11 | 1.9x | 65 | 53% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-9.3% | -87.4% | 0.09 | -0.11 | 0.5x | 183 | 47% |
| Buy and hold | 15.2% | -81.3% | 0.54 | 0.19 | 3.2x | 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, 62-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)