Trend-Following Backtester · Guide · backtest 한국어
equity · US
Safe Bulkers, Inc backtest
10 trend-following strategies were compared on the full daily history of Safe Bulkers, Inc. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.6%, MDD -52.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.8%, drawdown -98.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.8%, MDD -54.3%, Sharpe 0.61, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 21.6%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 15.6%, MDD -52.6%, exposure 48%).
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=44, slow=127 |
16.8% | -54.3% | 0.61 | 0.31 | 16.9x | 27 | 49% |
| Donchian 채널 돌파 entryN=82, exitN=57 |
15.6% | -52.6% | 0.58 | 0.30 | 14.0x | 23 | 48% |
| EMA 크로스오버 fast=40, slow=79 |
13.8% | -57.4% | 0.54 | 0.24 | 10.4x | 31 | 48% |
| ROC 모멘텀 n=140, threshold=0.06 |
12.2% | -57.0% | 0.51 | 0.21 | 8.1x | 119 | 43% |
| Supertrend period=15, mult=4.7 |
10.5% | -77.8% | 0.45 | 0.14 | 6.2x | 41 | 55% |
| Parabolic SAR step=0.01, maxStep=0.16 |
6.3% | -83.6% | 0.35 | 0.08 | 3.0x | 235 | 48% |
| 볼린저 밴드 돌파 n=23, k=1.9 |
6.4% | -61.7% | 0.35 | 0.10 | 3.1x | 151 | 29% |
| ADX / DI 방향성 period=24, threshold=10 |
5.4% | -71.3% | 0.33 | 0.08 | 2.6x | 247 | 46% |
| MACD fast=14, slow=30, signal=16 |
1.5% | -94.4% | 0.27 | 0.02 | 1.3x | 253 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=1.2 |
0.7% | -80.1% | 0.20 | 0.01 | 1.1x | 135 | 38% |
| Buy and hold | -4.8% | -98.4% | 0.23 | -0.05 | 0.4x | 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 44-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 44-day average falls below the 127-day average