Trend-Following Backtester · Guide · backtest 한국어
equity · US
Golar LNG Limited backtest
10 trend-following strategies were compared on the full daily history of Golar LNG Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -58.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.2%, drawdown -93.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -63.1%, Sharpe 0.48, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 7.9%, MDD -58.4%, exposure 54%).
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=30, slow=74 |
11.1% | -63.1% | 0.48 | 0.18 | 11.4x | 78 | 52% |
| EMA 크로스오버 fast=37, slow=87 |
7.9% | -58.4% | 0.40 | 0.14 | 5.7x | 57 | 54% |
| Supertrend period=11, mult=5 |
6.2% | -74.7% | 0.35 | 0.08 | 4.0x | 64 | 51% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=36, mult=3.1 |
5.5% | -72.8% | 0.34 | 0.07 | 3.4x | 60 | 29% |
| Donchian 채널 돌파 entryN=42, exitN=59 |
4.5% | -76.4% | 0.30 | 0.06 | 2.8x | 56 | 60% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
3.9% | -74.4% | 0.28 | 0.05 | 2.4x | 94 | 35% |
| ROC 모멘텀 n=142, threshold=-0.04 |
3.6% | -78.4% | 0.28 | 0.05 | 2.3x | 245 | 62% |
| ADX / DI 방향성 period=45, threshold=8 |
2.2% | -84.6% | 0.23 | 0.03 | 1.6x | 220 | 47% |
| MACD fast=22, slow=29, signal=12 |
-0.1% | -90.9% | 0.19 | -0.00 | 1.0x | 304 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.8% | -83.3% | 0.15 | -0.01 | 0.8x | 192 | 50% |
| Buy and hold | 7.2% | -93.6% | 0.40 | 0.08 | 5.0x | 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 30-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 30-day average falls below the 74-day average