Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Danske Bank A/S backtest
10 trend-following strategies were compared on the full daily history of Danske Bank A/S. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.6%, MDD -28.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.4%, drawdown -87.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -30.1%, Sharpe 0.51, 45% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.4%, MDD -53.0%, exposure 61%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 57.7%p (CAGR 4.6%, MDD -28.5%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=50, exitN=29 |
7.3% | -30.1% | 0.51 | 0.24 | 6.2x | 69 | 45% |
| SMA 크로스오버 fast=54, slow=173 |
7.4% | -53.0% | 0.45 | 0.14 | 6.2x | 27 | 61% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=2.5 |
5.7% | -29.0% | 0.44 | 0.20 | 4.2x | 101 | 39% |
| EMA 크로스오버 fast=22, slow=206 |
6.8% | -53.5% | 0.43 | 0.13 | 5.4x | 39 | 64% |
| Supertrend period=19, mult=5 |
6.6% | -48.6% | 0.42 | 0.14 | 5.1x | 67 | 59% |
| ROC 모멘텀 n=125, threshold=-0.07 |
6.9% | -54.3% | 0.41 | 0.13 | 5.5x | 117 | 73% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
4.6% | -28.5% | 0.38 | 0.16 | 3.2x | 95 | 36% |
| ADX / DI 방향성 period=36, threshold=10 |
1.8% | -50.8% | 0.19 | 0.03 | 1.6x | 229 | 40% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-3.5% | -73.8% | -0.08 | -0.05 | 0.4x | 394 | 53% |
| MACD fast=22, slow=42, signal=19 |
-4.3% | -81.1% | -0.11 | -0.05 | 0.3x | 278 | 52% |
| Buy and hold | 4.4% | -87.7% | 0.29 | 0.05 | 3.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 50 days
- Sell — Sell when price breaks below the lowest low of the last 29 days