Trend-Following Backtester · Guide · backtest 한국어
equity · US
Transocean Ltd (Switzerland) backtest
10 trend-following strategies were compared on the full daily history of Transocean Ltd (Switzerland). 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -47.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.2%, drawdown -99.6%).
Sharpe leader (same as main): MACD — CAGR 6.6%, MDD -73.4%, Sharpe 0.36, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 1.3%, MDD -47.9%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=72, signal=37 |
6.6% | -73.4% | 0.36 | 0.09 | 8.4x | 198 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=56 |
4.9% | -89.6% | 0.33 | 0.06 | 5.0x | 118 | 75% |
| SMA 크로스오버 fast=15, slow=182 |
4.8% | -81.5% | 0.31 | 0.06 | 4.8x | 68 | 48% |
| 볼린저 밴드 돌파 n=43, k=3.3 |
4.1% | -53.0% | 0.30 | 0.08 | 3.8x | 30 | 9% |
| EMA 크로스오버 fast=19, slow=109 |
4.1% | -88.3% | 0.28 | 0.05 | 3.8x | 98 | 48% |
| Supertrend period=11, mult=3.5 |
3.4% | -78.4% | 0.27 | 0.04 | 3.0x | 184 | 51% |
| ROC 모멘텀 n=41, threshold=-0.01 |
2.4% | -84.1% | 0.25 | 0.03 | 2.2x | 490 | 54% |
| ADX / DI 방향성 period=43, threshold=21 |
1.3% | -47.9% | 0.16 | 0.03 | 1.5x | 26 | 7% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-0.6% | -88.2% | 0.16 | -0.01 | 0.8x | 180 | 49% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=23, mult=3.8 |
0.4% | -48.8% | 0.10 | 0.01 | 1.2x | 52 | 8% |
| Buy and hold | -3.2% | -99.6% | 0.22 | -0.03 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/72) crosses above its 37-day signal line
- Sell — Sell when the MACD line crosses back below the signal line