Trend-Following Backtester · Guide · backtest 한국어
equity · US
Euroseas Ltd. backtest
10 trend-following strategies were compared on the full daily history of Euroseas Ltd.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.8%, MDD -5.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -12.7%, drawdown -99.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.0%, MDD -41.8%, Sharpe 0.55, 4% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 14.0%, MDD -72.1%, exposure 36%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 22.8%p higher than buy and hold, while drawdown improves by 58.1%p (CAGR 0.8%, MDD -5.4%, exposure 0%).
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=49, threshold=33 |
10.0% | -41.8% | 0.55 | 0.24 | 6.9x | 4 | 4% |
| EMA 크로스오버 fast=59, slow=124 |
14.0% | -72.1% | 0.53 | 0.19 | 14.3x | 19 | 36% |
| SMA 크로스오버 fast=42, slow=202 |
13.4% | -81.4% | 0.51 | 0.17 | 12.8x | 25 | 40% |
| Donchian 채널 돌파 entryN=108, exitN=46 |
9.6% | -88.9% | 0.42 | 0.11 | 6.4x | 19 | 33% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=5, mult=3.4 |
5.2% | -55.9% | 0.33 | 0.09 | 2.8x | 24 | 10% |
| 볼린저 밴드 돌파 n=11, k=3.1 |
0.8% | -5.4% | 0.31 | 0.15 | 1.2x | 2 | 0% |
| ROC 모멘텀 n=149, threshold=0.1 |
3.1% | -92.7% | 0.28 | 0.03 | 1.8x | 143 | 32% |
| Supertrend period=29, mult=4.9 |
-3.6% | -95.8% | 0.14 | -0.04 | 0.5x | 49 | 42% |
| MACD fast=11, slow=70, signal=17 |
-13.9% | -99.4% | 0.03 | -0.14 | 0.0x | 253 | 53% |
| Parabolic SAR step=0.065, maxStep=0.08 |
-13.5% | -99.2% | 0.01 | -0.14 | 0.1x | 461 | 44% |
| Buy and hold | -12.7% | -99.9% | 0.19 | -0.13 | 0.1x | 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, 49-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)