Trend-Following Backtester · Guide · backtest 한국어
equity · US
Royal Caribbean Cruises Ltd. backtest
10 trend-following strategies were compared on the full daily history of Royal Caribbean Cruises Ltd.. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.6%, MDD -65.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.7%, drawdown -90.3%).
Sharpe leader (same as main): Supertrend — CAGR 12.6%, MDD -65.9%, Sharpe 0.54, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 12.6%, MDD -65.9%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=2.9 |
12.6% | -65.9% | 0.54 | 0.19 | 52.6x | 272 | 57% |
| Parabolic SAR step=0.005, maxStep=0.08 |
12.1% | -67.6% | 0.52 | 0.18 | 44.8x | 280 | 55% |
| MACD fast=14, slow=45, signal=16 |
11.8% | -66.5% | 0.51 | 0.18 | 41.0x | 424 | 51% |
| Donchian 채널 돌파 entryN=24, exitN=75 |
12.0% | -81.8% | 0.49 | 0.15 | 43.5x | 87 | 78% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=0.9 |
9.7% | -57.2% | 0.48 | 0.17 | 22.2x | 406 | 49% |
| ROC 모멘텀 n=165, threshold=-0.04 |
9.5% | -64.5% | 0.46 | 0.15 | 20.9x | 215 | 66% |
| SMA 크로스오버 fast=23, slow=115 |
8.4% | -83.7% | 0.42 | 0.10 | 14.7x | 87 | 59% |
| EMA 크로스오버 fast=15, slow=96 |
8.0% | -72.8% | 0.41 | 0.11 | 13.1x | 117 | 60% |
| 볼린저 밴드 돌파 n=37, k=1.4 |
6.6% | -59.1% | 0.37 | 0.11 | 8.4x | 252 | 45% |
| ADX / DI 방향성 period=24, threshold=11 |
6.5% | -73.8% | 0.36 | 0.09 | 8.3x | 440 | 51% |
| Buy and hold | 10.7% | -90.3% | 0.45 | 0.12 | 29.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)