Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Orsted backtest
10 trend-following strategies were compared on the full daily history of Orsted. 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 0.4%, MDD -12.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.6%, drawdown -92.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.4%, MDD -52.6%, Sharpe 0.59, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 0.4%, MDD -12.2%, exposure 2%).
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=54, slow=171 |
9.4% | -52.6% | 0.59 | 0.18 | 2.5x | 6 | 42% |
| SMA 크로스오버 fast=36, slow=210 |
8.1% | -55.3% | 0.49 | 0.15 | 2.2x | 9 | 49% |
| Donchian 채널 돌파 entryN=89, exitN=23 |
6.0% | -39.1% | 0.47 | 0.15 | 1.8x | 18 | 31% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
3.2% | -28.5% | 0.35 | 0.11 | 1.4x | 12 | 16% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=3.6 |
2.4% | -28.1% | 0.28 | 0.08 | 1.3x | 18 | 17% |
| ROC 모멘텀 n=149, threshold=0.12 |
3.0% | -61.0% | 0.26 | 0.05 | 1.4x | 60 | 38% |
| MACD fast=21, slow=52, signal=21 |
0.2% | -66.1% | 0.15 | 0.00 | 1.0x | 86 | 53% |
| ADX / DI 방향성 period=29, threshold=32 |
0.4% | -12.2% | 0.15 | 0.03 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.3% | -60.9% | 0.11 | -0.01 | 1.0x | 82 | 53% |
| Supertrend period=27, mult=4.5 |
-0.5% | -71.6% | 0.11 | -0.01 | 1.0x | 32 | 59% |
| Buy and hold | -5.6% | -92.2% | 0.07 | -0.06 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 171-day EMA
- Sell — Sell when the 54-day EMA falls below the 171-day EMA