Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dorian LPG Ltd. backtest
10 trend-following strategies were compared on the full daily history of Dorian LPG Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.4%, MDD -46.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.9%, drawdown -78.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.1%, MDD -55.6%, Sharpe 0.62, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 15.4%, MDD -46.0%, exposure 49%).
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=37, slow=84 |
16.1% | -55.6% | 0.62 | 0.29 | 6.2x | 33 | 53% |
| Donchian 채널 돌파 entryN=55, exitN=52 |
15.4% | -46.0% | 0.60 | 0.34 | 5.8x | 21 | 49% |
| ROC 모멘텀 n=76, threshold=-0.02 |
13.1% | -63.6% | 0.53 | 0.21 | 4.5x | 133 | 56% |
| EMA 크로스오버 fast=28, slow=111 |
10.6% | -66.6% | 0.47 | 0.16 | 3.4x | 33 | 50% |
| ADX / DI 방향성 period=43, threshold=15 |
7.1% | -35.8% | 0.44 | 0.20 | 2.3x | 35 | 16% |
| Parabolic SAR step=0.025, maxStep=0.14 |
7.1% | -60.4% | 0.37 | 0.12 | 2.3x | 285 | 51% |
| Supertrend period=36, mult=4.4 |
5.9% | -63.6% | 0.34 | 0.09 | 2.0x | 45 | 47% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=9, mult=2.9 |
4.3% | -48.4% | 0.30 | 0.09 | 1.7x | 37 | 24% |
| 볼린저 밴드 돌파 n=42, k=2.6 |
2.5% | -39.6% | 0.22 | 0.06 | 1.4x | 38 | 24% |
| MACD fast=6, slow=23, signal=9 |
-2.7% | -69.2% | 0.08 | -0.04 | 0.7x | 325 | 51% |
| Buy and hold | 7.9% | -78.3% | 0.40 | 0.10 | 2.5x | 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 37-day average price crosses above the 84-day average
- Sell — Sell (to cash) when the 37-day average falls below the 84-day average