Trend-Following Backtester · Guide · backtest 한국어
equity · US
Seanergy Maritime Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of Seanergy Maritime Holdings Corp.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -42.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -46.3%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.6%, MDD -50.3%, Sharpe 0.31, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 49.9%p higher than buy and hold, while drawdown improves by 49.7%p (CAGR 1.7%, MDD -42.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=285 |
3.6% | -50.3% | 0.31 | 0.07 | 1.9x | 3 | 10% |
| ADX / DI 방향성 period=16, threshold=50 |
1.7% | -42.9% | 0.18 | 0.04 | 1.4x | 2 | 0% |
| Parabolic SAR step=0.03, maxStep=0.28 |
-16.9% | -99.1% | 0.06 | -0.17 | 0.0x | 425 | 40% |
| SMA 크로스오버 fast=44, slow=89 |
-6.5% | -96.2% | 0.05 | -0.07 | 0.3x | 49 | 37% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=11, mult=2.8 |
-5.9% | -80.6% | 0.04 | -0.07 | 0.3x | 30 | 4% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
-7.5% | -86.0% | 0.00 | -0.09 | 0.2x | 32 | 5% |
| Supertrend period=19, mult=4.4 |
-15.2% | -98.9% | -0.02 | -0.15 | 0.0x | 61 | 35% |
| Donchian 채널 돌파 entryN=22, exitN=60 |
-25.1% | -99.9% | -0.09 | -0.25 | 0.0x | 53 | 57% |
| ROC 모멘텀 n=86, threshold=0.01 |
-23.2% | -99.8% | -0.18 | -0.23 | 0.0x | 207 | 34% |
| MACD fast=11, slow=55, signal=6 |
-37.1% | -100.0% | -0.22 | -0.37 | 0.0x | 383 | 53% |
| Buy and hold | -46.3% | -100.0% | -0.17 | -0.46 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 285-day EMA
- Sell — Sell when the 54-day EMA falls below the 285-day EMA