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 15.8%, MDD -46.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.3%, drawdown -78.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.5%, MDD -55.6%, Sharpe 0.63, 54% 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 15.8%, MDD -46.0%, exposure 50%).
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 |
16.5% | -55.6% | 0.63 | 0.30 | 6.6x | 33 | 54% |
| Donchian 채널 돌파 entryN=55, exitN=52 |
15.8% | -46.0% | 0.61 | 0.34 | 6.1x | 21 | 50% |
| ROC 모멘텀 n=76, threshold=-0.02 |
13.5% | -63.6% | 0.54 | 0.21 | 4.8x | 133 | 56% |
| EMA 크로스오버 fast=28, slow=111 |
11.0% | -66.6% | 0.49 | 0.17 | 3.6x | 33 | 50% |
| ADX / DI 방향성 period=43, threshold=15 |
7.5% | -35.8% | 0.46 | 0.21 | 2.4x | 35 | 17% |
| Parabolic SAR step=0.025, maxStep=0.14 |
6.6% | -60.4% | 0.36 | 0.11 | 2.2x | 288 | 51% |
| Supertrend period=36, mult=4.4 |
6.4% | -63.6% | 0.35 | 0.10 | 2.1x | 45 | 47% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=9, mult=2.9 |
4.7% | -48.4% | 0.32 | 0.10 | 1.8x | 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 |
-3.3% | -69.2% | 0.06 | -0.05 | 0.7x | 328 | 51% |
| Buy and hold | 8.3% | -78.3% | 0.41 | 0.11 | 2.7x | 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