Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tsakos Energy Navigation Ltd backtest
10 trend-following strategies were compared on the full daily history of Tsakos Energy Navigation Ltd. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -13.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.2%, drawdown -96.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.0%, MDD -57.5%, Sharpe 0.52, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 1.7%, MDD -13.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=47, slow=283 |
11.0% | -57.5% | 0.52 | 0.19 | 12.8x | 15 | 46% |
| ROC 모멘텀 n=177, threshold=0.07 |
7.2% | -77.6% | 0.40 | 0.09 | 5.4x | 143 | 39% |
| SMA 크로스오버 fast=57, slow=187 |
6.9% | -78.8% | 0.38 | 0.09 | 5.1x | 29 | 46% |
| ADX / DI 방향성 period=29, threshold=37 |
1.7% | -13.7% | 0.36 | 0.13 | 1.5x | 6 | 1% |
| Donchian 채널 돌파 entryN=96, exitN=91 |
5.1% | -84.0% | 0.32 | 0.06 | 3.3x | 25 | 52% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
1.3% | -16.9% | 0.26 | 0.08 | 1.4x | 14 | 1% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=15, mult=3 |
1.2% | -59.0% | 0.16 | 0.02 | 1.3x | 74 | 17% |
| Supertrend period=29, mult=4.1 |
-0.5% | -85.6% | 0.12 | -0.01 | 0.9x | 108 | 47% |
| MACD fast=19, slow=29, signal=19 |
-1.2% | -95.2% | 0.12 | -0.01 | 0.7x | 287 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-2.9% | -92.7% | 0.05 | -0.03 | 0.5x | 423 | 49% |
| Buy and hold | 0.2% | -96.4% | 0.23 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 283-day EMA
- Sell — Sell when the 47-day EMA falls below the 283-day EMA