Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genco Shipping & Trading Limited backtest
10 trend-following strategies were compared on the full daily history of Genco Shipping & Trading Limited. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.7%, MDD -45.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.1%, drawdown -98.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.7%, MDD -53.2%, Sharpe 0.66, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 35.8%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 6.7%, MDD -45.4%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=51 |
19.7% | -53.2% | 0.66 | 0.37 | 8.7x | 23 | 48% |
| SMA 크로스오버 fast=36, slow=64 |
19.1% | -52.2% | 0.64 | 0.37 | 8.2x | 45 | 51% |
| Donchian 채널 돌파 entryN=49, exitN=60 |
17.4% | -52.0% | 0.60 | 0.33 | 6.9x | 19 | 52% |
| ROC 모멘텀 n=99, threshold=0 |
14.2% | -47.9% | 0.53 | 0.30 | 5.0x | 79 | 49% |
| ADX / DI 방향성 period=55, threshold=5 |
9.9% | -61.5% | 0.43 | 0.16 | 3.1x | 91 | 53% |
| 볼린저 밴드 돌파 n=68, k=3.1 |
6.7% | -45.4% | 0.37 | 0.15 | 2.2x | 14 | 17% |
| Supertrend period=8, mult=5 |
5.3% | -69.1% | 0.34 | 0.08 | 1.9x | 37 | 52% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-4.2% | -66.0% | 0.12 | -0.06 | 0.6x | 245 | 48% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=3.3 |
-1.4% | -63.6% | 0.07 | -0.02 | 0.8x | 32 | 20% |
| MACD fast=11, slow=25, signal=4 |
-9.6% | -83.7% | 0.01 | -0.12 | 0.3x | 332 | 52% |
| Buy and hold | -16.1% | -98.2% | 0.03 | -0.16 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 51-day EMA
- Sell — Sell when the 40-day EMA falls below the 51-day EMA