Trend-Following Backtester · Guide · backtest 한국어
equity · NL
SBM Offshore NV backtest
10 trend-following strategies were compared on the full daily history of SBM Offshore NV. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.4%, drawdown -74.7%).
Sharpe leader (same as main): MACD — CAGR -0.1%, MDD -64.5%, Sharpe 0.11, 48% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.3%, MDD -12.0%, exposure 1%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=32, signal=19 |
-0.1% | -64.5% | 0.11 | -0.00 | 1.0x | 391 | 48% |
| ADX / DI 방향성 period=25, threshold=34 |
0.3% | -12.0% | 0.10 | 0.02 | 1.1x | 12 | 1% |
| SMA 크로스오버 fast=34, slow=206 |
-1.8% | -86.2% | 0.04 | -0.02 | 0.6x | 55 | 56% |
| EMA 크로스오버 fast=54, slow=178 |
-1.6% | -89.0% | 0.04 | -0.02 | 0.6x | 49 | 55% |
| Donchian 채널 돌파 entryN=77, exitN=51 |
-1.7% | -85.3% | 0.01 | -0.02 | 0.6x | 62 | 48% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
-0.4% | -38.0% | -0.02 | -0.01 | 0.9x | 20 | 7% |
| Supertrend period=21, mult=2.1 |
-3.4% | -78.7% | -0.02 | -0.04 | 0.4x | 360 | 55% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=16, mult=3.9 |
-2.0% | -64.6% | -0.10 | -0.03 | 0.6x | 74 | 22% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-5.4% | -87.0% | -0.11 | -0.06 | 0.2x | 774 | 52% |
| ROC 모멘텀 n=73, threshold=0.04 |
-4.7% | -87.7% | -0.14 | -0.05 | 0.3x | 362 | 46% |
| Buy and hold | 3.4% | -74.7% | 0.27 | 0.05 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/32) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line