Trend-Following Backtester · Guide · backtest 한국어

equity · US

SFL Corporation Ltd backtest

10 trend-following strategies were compared on the full daily history of SFL Corporation Ltd. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -12.1%).

Data 2004-06-17 ~ 2026-07-31daily bars 5,566 (22.1 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR -0.8%, drawdown -87.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -54.3%, Sharpe 0.25, 67% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR -0.3%, MDD -12.1%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=47, exitN=102
3.3%-54.3%0.250.062.0x3367%
EMA 크로스오버
fast=41, slow=95
2.6%-57.1%0.230.051.8x4952%
SMA 크로스오버
fast=25, slow=156
2.1%-54.8%0.210.041.6x4551%
볼린저 밴드 돌파
n=38, k=2
0.7%-61.2%0.130.011.2x9728%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=11, mult=1.9
-0.6%-77.0%0.05-0.010.9x13528%
Supertrend
period=28, mult=4.7
-2.1%-85.4%0.02-0.030.6x7749%
Parabolic SAR
step=0.02, maxStep=0.3
-3.3%-81.1%-0.01-0.040.5x45950%
MACD
fast=18, slow=27, signal=19
-4.6%-89.1%-0.05-0.050.3x29751%
ROC 모멘텀
n=88, threshold=-0.03
-4.3%-79.6%-0.08-0.050.4x24958%
ADX / DI 방향성
period=18, threshold=38
-0.3%-12.1%-0.14-0.030.9x41%
Buy and hold-0.8%-87.5%0.18-0.010.8x1100%
1x 2005 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -88% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -54.3% (2014-08-28 → 2019-03-11), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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