Trend-Following Backtester · Guide · backtest 한국어
equity · US
DHT Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of DHT Holdings, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.2%, MDD -7.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.1%, drawdown -98.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -50.7%, Sharpe 0.25, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 0.2%, MDD -7.3%, exposure 1%).
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=57, slow=163 |
3.3% | -50.7% | 0.25 | 0.06 | 2.0x | 31 | 47% |
| Donchian 채널 돌파 entryN=103, exitN=73 |
3.2% | -62.5% | 0.25 | 0.05 | 1.9x | 21 | 42% |
| ROC 모멘텀 n=139, threshold=-0.11 |
1.0% | -60.5% | 0.19 | 0.02 | 1.2x | 143 | 65% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
1.0% | -22.1% | 0.17 | 0.04 | 1.2x | 8 | 4% |
| ADX / DI 방향성 period=38, threshold=26 |
0.9% | -17.7% | 0.14 | 0.05 | 1.2x | 6 | 2% |
| EMA 크로스오버 fast=53, slow=200 |
-0.4% | -71.5% | 0.12 | -0.01 | 0.9x | 27 | 46% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=24, mult=2.7 |
0.2% | -7.3% | 0.09 | 0.03 | 1.1x | 8 | 1% |
| MACD fast=23, slow=37, signal=4 |
-5.8% | -91.7% | -0.01 | -0.06 | 0.3x | 395 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.2% | -88.4% | -0.02 | -0.06 | 0.3x | 169 | 47% |
| Supertrend period=25, mult=3.4 |
-7.5% | -91.3% | -0.11 | -0.08 | 0.2x | 117 | 44% |
| Buy and hold | -9.1% | -98.5% | 0.03 | -0.09 | 0.1x | 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 57-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 57-day average falls below the 163-day average