Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pangaea Logistics Solutions Ltd. backtest
10 trend-following strategies were compared on the full daily history of Pangaea Logistics Solutions Ltd.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.8%, MDD -19.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -84.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -54.5%, Sharpe 0.32, 68% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 2.8%, MDD -19.1%, exposure 2%).
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=14, exitN=34 |
4.8% | -54.5% | 0.32 | 0.09 | 1.8x | 49 | 68% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=23, mult=3.8 |
2.8% | -19.1% | 0.31 | 0.15 | 1.4x | 8 | 2% |
| ADX / DI 방향성 period=33, threshold=38 |
3.1% | -30.3% | 0.30 | 0.10 | 1.5x | 4 | 5% |
| SMA 크로스오버 fast=57, slow=130 |
3.2% | -63.3% | 0.27 | 0.05 | 1.5x | 24 | 50% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
3.0% | -29.7% | 0.25 | 0.10 | 1.4x | 26 | 9% |
| Supertrend period=24, mult=4.9 |
1.0% | -52.7% | 0.22 | 0.02 | 1.1x | 34 | 54% |
| MACD fast=24, slow=39, signal=16 |
0.6% | -63.8% | 0.21 | 0.01 | 1.1x | 127 | 51% |
| EMA 크로스오버 fast=49, slow=325 |
-1.2% | -73.6% | 0.14 | -0.02 | 0.9x | 11 | 51% |
| ROC 모멘텀 n=115, threshold=0.07 |
-2.2% | -67.7% | 0.12 | -0.03 | 0.8x | 120 | 40% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-6.7% | -66.8% | 0.01 | -0.10 | 0.4x | 92 | 48% |
| Buy and hold | -1.9% | -84.0% | 0.23 | -0.02 | 0.8x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 34 days