Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ardmore Shipping Corporation backtest
10 trend-following strategies were compared on the full daily history of Ardmore Shipping Corporation. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.4%, MDD -33.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.9%, drawdown -82.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.1%, MDD -71.0%, Sharpe 0.34, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 11.5%p (CAGR 2.4%, MDD -33.3%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=128, threshold=-0.02 |
6.1% | -71.0% | 0.34 | 0.09 | 2.2x | 95 | 52% |
| Parabolic SAR step=0.025, maxStep=0.2 |
5.7% | -67.4% | 0.33 | 0.08 | 2.1x | 303 | 50% |
| SMA 크로스오버 fast=36, slow=174 |
5.5% | -69.6% | 0.33 | 0.08 | 2.0x | 21 | 48% |
| Donchian 채널 돌파 entryN=119, exitN=6 |
3.6% | -35.0% | 0.30 | 0.10 | 1.6x | 38 | 10% |
| Supertrend period=18, mult=3.3 |
4.5% | -70.7% | 0.30 | 0.06 | 1.8x | 71 | 51% |
| EMA 크로스오버 fast=43, slow=123 |
2.8% | -73.7% | 0.24 | 0.04 | 1.4x | 25 | 47% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
2.4% | -33.3% | 0.24 | 0.07 | 1.4x | 14 | 6% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=2 |
2.5% | -45.4% | 0.23 | 0.06 | 1.4x | 54 | 12% |
| MACD fast=16, slow=66, signal=23 |
0.3% | -88.5% | 0.18 | 0.00 | 1.0x | 115 | 51% |
| ADX / DI 방향성 period=20, threshold=12 |
-4.3% | -79.6% | 0.01 | -0.05 | 0.6x | 200 | 41% |
| Buy and hold | 1.9% | -82.6% | 0.28 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 128-day return is greater than -2%
- Sell — Sell when the 128-day return drops to -2% or below