Trend-Following Backtester · Guide · backtest 한국어
equity · US
Star Bulk Carriers Corp. backtest
10 trend-following strategies were compared on the full daily history of Star Bulk Carriers Corp.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.5%, MDD -45.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.5%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -45.5%, Sharpe 0.62, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 34.9%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 17.5%, MDD -45.5%, exposure 47%).
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=47, slow=143 |
17.5% | -45.5% | 0.62 | 0.38 | 20.4x | 25 | 47% |
| ROC 모멘텀 n=122, threshold=0.05 |
15.1% | -59.7% | 0.57 | 0.25 | 13.9x | 109 | 43% |
| Donchian 채널 돌파 entryN=48, exitN=93 |
12.6% | -73.6% | 0.50 | 0.17 | 9.3x | 23 | 53% |
| EMA 크로스오버 fast=17, slow=212 |
8.8% | -51.4% | 0.42 | 0.17 | 4.8x | 21 | 38% |
| MACD fast=8, slow=22, signal=9 |
8.0% | -86.1% | 0.39 | 0.09 | 4.2x | 388 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=18, mult=1.1 |
5.9% | -69.5% | 0.34 | 0.08 | 2.9x | 141 | 37% |
| ADX / DI 방향성 period=39, threshold=11 |
5.6% | -67.6% | 0.33 | 0.08 | 2.8x | 131 | 34% |
| Supertrend period=28, mult=5 |
2.4% | -74.4% | 0.24 | 0.03 | 1.6x | 49 | 44% |
| 볼린저 밴드 돌파 n=18, k=2.3 |
1.9% | -64.3% | 0.20 | 0.03 | 1.4x | 127 | 19% |
| Parabolic SAR step=0.015, maxStep=0.38 |
0.0% | -80.7% | 0.20 | 0.00 | 1.0x | 311 | 47% |
| Buy and hold | -17.5% | -99.8% | -0.02 | -0.17 | 0.0x | 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 47-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 47-day average falls below the 143-day average