Trend-Following Backtester · Guide · backtest 한국어
equity · US
FLEX LNG Ltd. backtest
10 trend-following strategies were compared on the full daily history of FLEX LNG Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 31.5%, MDD -27.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.4%, drawdown -72.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.5%, MDD -27.8%, Sharpe 0.96, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 16.1%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 31.5%, MDD -27.8%, exposure 52%).
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=67, slow=170 |
31.5% | -27.8% | 0.96 | 1.13 | 7.2x | 7 | 52% |
| EMA 크로스오버 fast=42, slow=187 |
26.9% | -27.8% | 0.87 | 0.97 | 5.6x | 3 | 50% |
| Donchian 채널 돌파 entryN=86, exitN=82 |
27.6% | -27.8% | 0.86 | 0.99 | 5.8x | 3 | 59% |
| ROC 모멘텀 n=146, threshold=0.07 |
25.9% | -28.8% | 0.84 | 0.90 | 5.2x | 35 | 46% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
4.7% | -9.6% | 0.59 | 0.49 | 1.4x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=23, mult=3.8 |
3.2% | -9.6% | 0.45 | 0.33 | 1.3x | 2 | 2% |
| Parabolic SAR step=0.02, maxStep=0.16 |
4.6% | -50.8% | 0.30 | 0.09 | 1.4x | 148 | 54% |
| MACD fast=17, slow=27, signal=16 |
3.3% | -50.0% | 0.26 | 0.07 | 1.3x | 93 | 52% |
| ADX / DI 방향성 period=39, threshold=12 |
1.4% | -53.6% | 0.19 | 0.03 | 1.1x | 44 | 27% |
| Supertrend period=6, mult=2.3 |
-0.5% | -59.8% | 0.16 | -0.01 | 1.0x | 81 | 53% |
| Buy and hold | 15.4% | -72.7% | 0.54 | 0.21 | 2.8x | 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 67-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 67-day average falls below the 170-day average