Trend-Following Backtester · Guide · backtest 한국어
equity · US
Diana Shipping inc. backtest
10 trend-following strategies were compared on the full daily history of Diana Shipping inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -44.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.1%, drawdown -97.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -68.7%, Sharpe 0.39, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 1.7%, MDD -44.7%, exposure 11%).
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=60, slow=125 |
7.8% | -68.7% | 0.39 | 0.11 | 4.9x | 40 | 44% |
| EMA 크로스오버 fast=42, slow=185 |
4.8% | -70.4% | 0.31 | 0.07 | 2.7x | 23 | 36% |
| Donchian 채널 돌파 entryN=41, exitN=73 |
3.6% | -79.4% | 0.28 | 0.05 | 2.1x | 36 | 52% |
| ROC 모멘텀 n=124, threshold=-0.09 |
-0.0% | -85.9% | 0.19 | -0.00 | 1.0x | 187 | 57% |
| ADX / DI 방향성 period=66, threshold=15 |
1.7% | -44.7% | 0.18 | 0.04 | 1.4x | 20 | 11% |
| Supertrend period=27, mult=5 |
-0.6% | -79.4% | 0.15 | -0.01 | 0.9x | 54 | 37% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
0.1% | -46.8% | 0.08 | 0.00 | 1.0x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=20, mult=3.1 |
-1.9% | -75.3% | 0.05 | -0.03 | 0.7x | 56 | 22% |
| MACD fast=6, slow=22, signal=8 |
-7.3% | -94.3% | -0.01 | -0.08 | 0.2x | 551 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-8.8% | -95.4% | -0.07 | -0.09 | 0.1x | 269 | 47% |
| Buy and hold | -8.1% | -97.1% | 0.11 | -0.08 | 0.2x | 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 60-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 60-day average falls below the 125-day average