Trend-Following Backtester · Guide · backtest 한국어
equity · US
Teekay Tankers Ltd. backtest
10 trend-following strategies were compared on the full daily history of Teekay Tankers Ltd.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.7%, MDD -9.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.7%, drawdown -96.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -64.3%, Sharpe 0.54, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.8%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 0.7%, MDD -9.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=61, slow=220 |
14.1% | -64.3% | 0.54 | 0.22 | 11.6x | 15 | 44% |
| EMA 크로스오버 fast=51, slow=162 |
12.0% | -65.8% | 0.49 | 0.18 | 8.2x | 15 | 44% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
4.3% | -20.3% | 0.44 | 0.21 | 2.2x | 24 | 4% |
| ROC 모멘텀 n=114, threshold=-0.01 |
9.4% | -60.1% | 0.42 | 0.16 | 5.3x | 171 | 50% |
| Donchian 채널 돌파 entryN=116, exitN=63 |
6.2% | -58.0% | 0.35 | 0.11 | 3.1x | 22 | 35% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=4 |
0.7% | -9.9% | 0.20 | 0.08 | 1.1x | 4 | 1% |
| Supertrend period=22, mult=3.1 |
-4.1% | -84.4% | 0.06 | -0.05 | 0.5x | 121 | 40% |
| MACD fast=14, slow=19, signal=21 |
-5.6% | -95.1% | 0.06 | -0.06 | 0.3x | 271 | 51% |
| ADX / DI 방향성 period=26, threshold=30 |
-0.1% | -31.7% | 0.03 | -0.00 | 1.0x | 12 | 3% |
| Parabolic SAR step=0.04, maxStep=0.08 |
-7.3% | -96.6% | -0.00 | -0.08 | 0.2x | 387 | 48% |
| Buy and hold | -3.7% | -96.3% | 0.21 | -0.04 | 0.5x | 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 61-day average price crosses above the 220-day average
- Sell — Sell (to cash) when the 61-day average falls below the 220-day average