Trend-Following Backtester · Guide · backtest 한국어
equity · US
StealthGas, Inc. backtest
10 trend-following strategies were compared on the full daily history of StealthGas, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -10.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.1%, drawdown -91.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.5%, MDD -48.5%, Sharpe 0.44, 21% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 1.4%, MDD -10.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=56, k=2.5 |
7.5% | -48.5% | 0.44 | 0.15 | 4.5x | 40 | 21% |
| ADX / DI 방향성 period=21, threshold=43 |
1.4% | -10.6% | 0.35 | 0.14 | 1.3x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=8, mult=3.3 |
5.0% | -50.6% | 0.34 | 0.10 | 2.8x | 34 | 20% |
| Donchian 채널 돌파 entryN=72, exitN=29 |
3.5% | -72.5% | 0.26 | 0.05 | 2.1x | 42 | 28% |
| SMA 크로스오버 fast=19, slow=54 |
1.3% | -67.1% | 0.20 | 0.02 | 1.3x | 108 | 50% |
| Supertrend period=12, mult=3.6 |
-0.8% | -76.2% | 0.14 | -0.01 | 0.8x | 92 | 48% |
| ROC 모멘텀 n=127, threshold=0.08 |
-0.5% | -81.8% | 0.12 | -0.01 | 0.9x | 171 | 40% |
| EMA 크로스오버 fast=26, slow=91 |
-0.9% | -84.2% | 0.12 | -0.01 | 0.8x | 66 | 47% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.2% | -77.7% | 0.10 | -0.03 | 0.6x | 160 | 48% |
| MACD fast=23, slow=31, signal=12 |
-2.9% | -88.7% | 0.09 | -0.03 | 0.5x | 277 | 52% |
| Buy and hold | -2.1% | -91.1% | 0.20 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 56-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 56-day middle average