Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carnival Corporation Ltd. backtest
10 trend-following strategies were compared on the full daily history of Carnival Corporation Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -91.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.3%, MDD -82.2%, Sharpe 0.29, 65% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=265, threshold=-0.03 |
4.3% | -82.2% | 0.29 | 0.05 | 5.1x | 172 | 65% |
| SMA 크로스오버 fast=52, slow=218 |
4.0% | -75.2% | 0.28 | 0.05 | 4.7x | 50 | 58% |
| Donchian 채널 돌파 entryN=69, exitN=62 |
3.6% | -61.9% | 0.27 | 0.06 | 4.0x | 73 | 53% |
| MACD fast=18, slow=37, signal=24 |
2.5% | -83.7% | 0.23 | 0.03 | 2.6x | 418 | 51% |
| Supertrend period=25, mult=4.4 |
2.2% | -83.2% | 0.21 | 0.03 | 2.3x | 170 | 56% |
| EMA 크로스오버 fast=49, slow=179 |
1.3% | -78.2% | 0.18 | 0.02 | 1.6x | 70 | 59% |
| 볼린저 밴드 돌파 n=38, k=1.2 |
0.5% | -88.3% | 0.14 | 0.01 | 1.2x | 334 | 43% |
| ADX / DI 방향성 period=27, threshold=16 |
0.6% | -66.1% | 0.13 | 0.01 | 1.3x | 256 | 31% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=3.2 |
-0.5% | -69.0% | 0.06 | -0.01 | 0.8x | 154 | 24% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.5% | -98.1% | 0.02 | -0.04 | 0.2x | 535 | 54% |
| Buy and hold | 5.1% | -91.1% | 0.33 | 0.06 | 7.0x | 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 265-day return is greater than -3%
- Sell — Sell when the 265-day return drops to -3% or below