Trend-Following Backtester · Guide · backtest 한국어
equity · US
Costamare Inc. backtest
10 trend-following strategies were compared on the full daily history of Costamare Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.8%, MDD -36.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.7%, drawdown -85.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -48.9%, Sharpe 0.55, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 1.8%, MDD -36.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=34, slow=92 |
12.0% | -48.9% | 0.55 | 0.25 | 6.0x | 42 | 53% |
| Supertrend period=24, mult=3.3 |
7.3% | -68.0% | 0.39 | 0.11 | 3.0x | 76 | 54% |
| EMA 크로스오버 fast=38, slow=61 |
6.2% | -50.9% | 0.36 | 0.12 | 2.6x | 38 | 52% |
| Donchian 채널 돌파 entryN=30, exitN=57 |
6.3% | -66.2% | 0.35 | 0.09 | 2.6x | 38 | 66% |
| ROC 모멘텀 n=63, threshold=-0.07 |
4.8% | -65.2% | 0.31 | 0.07 | 2.1x | 141 | 66% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=11, mult=3.6 |
1.8% | -36.4% | 0.24 | 0.05 | 1.3x | 16 | 6% |
| ADX / DI 방향성 period=31, threshold=26 |
1.2% | -22.8% | 0.17 | 0.05 | 1.2x | 16 | 6% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
-0.3% | -72.3% | 0.12 | -0.00 | 1.0x | 100 | 43% |
| MACD fast=16, slow=35, signal=19 |
-8.0% | -81.3% | -0.14 | -0.10 | 0.3x | 201 | 50% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-8.4% | -86.8% | -0.15 | -0.10 | 0.3x | 439 | 51% |
| Buy and hold | 1.7% | -85.4% | 0.25 | 0.02 | 1.3x | 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 34-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 34-day average falls below the 92-day average