Trend-Following Backtester · Guide · backtest 한국어
equity · US
Teekay Corporation Ltd. backtest
10 trend-following strategies were compared on the full daily history of Teekay Corporation Ltd.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.3%, MDD -46.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.0%, drawdown -97.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -53.0%, Sharpe 0.48, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 44.5%p (CAGR 2.3%, MDD -46.3%, exposure 14%).
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=38, slow=154 |
10.1% | -53.0% | 0.48 | 0.19 | 19.6x | 50 | 57% |
| EMA 크로스오버 fast=77, slow=88 |
6.2% | -74.5% | 0.36 | 0.08 | 6.5x | 45 | 57% |
| Donchian 채널 돌파 entryN=112, exitN=68 |
4.6% | -73.5% | 0.31 | 0.06 | 4.1x | 38 | 46% |
| ROC 모멘텀 n=124, threshold=0.01 |
4.3% | -75.1% | 0.29 | 0.06 | 3.7x | 255 | 55% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
2.3% | -46.3% | 0.23 | 0.05 | 2.0x | 40 | 14% |
| Supertrend period=18, mult=2.8 |
1.1% | -88.0% | 0.19 | 0.01 | 1.4x | 263 | 54% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.6% | -74.0% | 0.17 | 0.01 | 1.2x | 267 | 52% |
| MACD fast=24, slow=45, signal=14 |
-1.5% | -79.5% | 0.11 | -0.02 | 0.6x | 345 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=3.5 |
-0.8% | -72.1% | 0.05 | -0.01 | 0.8x | 104 | 28% |
| ADX / DI 방향성 period=14, threshold=13 |
-2.7% | -90.8% | 0.05 | -0.03 | 0.4x | 622 | 48% |
| Buy and hold | -0.0% | -97.4% | 0.24 | -0.00 | 1.0x | 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 38-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 38-day average falls below the 154-day average