Trend-Following Backtester · Guide · backtest 한국어
equity · US
Borr Drilling Limited backtest
10 trend-following strategies were compared on the full daily history of Borr Drilling Limited. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -50.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.9%, drawdown -97.4%).
Sharpe leader (same as main): MACD — CAGR 35.4%, MDD -74.9%, Sharpe 0.70, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 55.3%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 2.7%, MDD -50.5%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=8, slow=34, signal=8 |
35.4% | -74.9% | 0.70 | 0.47 | 8.4x | 136 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
35.3% | -68.9% | 0.69 | 0.51 | 8.3x | 118 | 48% |
| SMA 크로스오버 fast=27, slow=216 |
20.2% | -65.3% | 0.60 | 0.31 | 3.6x | 8 | 49% |
| Supertrend period=16, mult=4.6 |
19.7% | -76.7% | 0.57 | 0.26 | 3.5x | 20 | 55% |
| Donchian 채널 돌파 entryN=11, exitN=58 |
17.1% | -80.0% | 0.56 | 0.21 | 3.0x | 20 | 76% |
| 볼린저 밴드 돌파 n=20, k=1.1 |
19.4% | -63.2% | 0.54 | 0.31 | 3.5x | 92 | 37% |
| ROC 모멘텀 n=13, threshold=0.09 |
17.2% | -72.0% | 0.51 | 0.24 | 3.0x | 150 | 27% |
| EMA 크로스오버 fast=33, slow=172 |
12.0% | -66.3% | 0.47 | 0.18 | 2.2x | 10 | 42% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=25, mult=2.4 |
14.8% | -65.4% | 0.46 | 0.23 | 2.6x | 32 | 20% |
| ADX / DI 방향성 period=35, threshold=24 |
2.7% | -50.5% | 0.24 | 0.05 | 1.2x | 8 | 15% |
| Buy and hold | -19.9% | -97.4% | 0.31 | -0.20 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (8/34) crosses above its 8-day signal line
- Sell — Sell when the MACD line crosses back below the signal line