Trend-Following Backtester · Guide · backtest 한국어
equity · DK
GN Store Nord A/S backtest
10 trend-following strategies were compared on the full daily history of GN Store Nord A/S. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -41.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.2%, drawdown -96.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.5%, MDD -58.9%, Sharpe 0.63, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 8.3%, MDD -41.9%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=77 |
12.5% | -58.9% | 0.63 | 0.21 | 21.0x | 40 | 57% |
| Donchian 채널 돌파 entryN=112, exitN=78 |
11.0% | -43.9% | 0.61 | 0.25 | 14.9x | 24 | 51% |
| SMA 크로스오버 fast=20, slow=155 |
12.0% | -52.9% | 0.60 | 0.23 | 18.7x | 42 | 58% |
| ROC 모멘텀 n=145, threshold=0.1 |
8.7% | -54.9% | 0.51 | 0.16 | 8.7x | 154 | 45% |
| ADX / DI 방향성 period=46, threshold=11 |
8.3% | -41.9% | 0.49 | 0.20 | 7.9x | 160 | 41% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
6.1% | -41.9% | 0.43 | 0.14 | 4.6x | 88 | 29% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=21, mult=3 |
5.2% | -54.2% | 0.37 | 0.10 | 3.7x | 90 | 33% |
| Supertrend period=13, mult=5 |
4.3% | -78.6% | 0.29 | 0.05 | 3.0x | 79 | 56% |
| MACD fast=23, slow=43, signal=15 |
3.4% | -74.1% | 0.26 | 0.05 | 2.4x | 267 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.1% | -71.5% | 0.10 | -0.02 | 0.8x | 219 | 52% |
| Buy and hold | -3.2% | -96.2% | 0.13 | -0.03 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 77-day EMA
- Sell — Sell when the 58-day EMA falls below the 77-day EMA