Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Dampskibsselskabet NORDEN A/S backtest
10 trend-following strategies were compared on the full daily history of Dampskibsselskabet NORDEN A/S. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 13.2%, drawdown -95.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -39.7%, Sharpe 0.41, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.9%, MDD -95.9%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=25 |
4.9% | -39.7% | 0.41 | 0.12 | 3.6x | 30 | 6% |
| SMA 크로스오버 fast=49, slow=203 |
17.9% | -95.9% | 0.40 | 0.19 | 79.7x | 31 | 55% |
| EMA 크로스오버 fast=39, slow=185 |
15.3% | -95.3% | 0.35 | 0.16 | 44.1x | 41 | 54% |
| Donchian 채널 돌파 entryN=60, exitN=66 |
7.9% | -96.8% | 0.34 | 0.08 | 7.4x | 45 | 61% |
| ROC 모멘텀 n=124, threshold=0.26 |
4.0% | -62.6% | 0.28 | 0.06 | 2.8x | 206 | 23% |
| 볼린저 밴드 돌파 n=51, k=3 |
3.5% | -57.8% | 0.27 | 0.06 | 2.5x | 50 | 18% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=25, mult=4 |
2.4% | -61.0% | 0.22 | 0.04 | 1.9x | 62 | 15% |
| MACD fast=17, slow=54, signal=23 |
-2.6% | -92.5% | 0.07 | -0.03 | 0.5x | 291 | 51% |
| Supertrend period=5, mult=2.6 |
-4.4% | -88.3% | 0.03 | -0.05 | 0.3x | 285 | 55% |
| Parabolic SAR step=0.04, maxStep=0.06 |
-20.4% | -99.9% | -0.05 | -0.20 | 0.0x | 427 | 56% |
| Buy and hold | 13.2% | -95.9% | 0.40 | 0.14 | 27.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)