Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Ringkjobing Landbobank A/S backtest
10 trend-following strategies were compared on the full daily history of Ringkjobing Landbobank A/S. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.4%, drawdown -81.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.3%, MDD -12.4%, Sharpe 0.81, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.9%, MDD -83.6%, exposure 75%.
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=60, threshold=20 |
5.3% | -12.4% | 0.81 | 0.43 | 3.8x | 6 | 14% |
| SMA 크로스오버 fast=29, slow=188 |
9.9% | -83.6% | 0.61 | 0.12 | 11.2x | 27 | 75% |
| EMA 크로스오버 fast=32, slow=181 |
9.3% | -83.9% | 0.58 | 0.11 | 9.7x | 29 | 78% |
| Donchian 채널 돌파 entryN=21, exitN=72 |
8.5% | -84.3% | 0.53 | 0.10 | 8.1x | 53 | 84% |
| ROC 모멘텀 n=135, threshold=0.05 |
5.7% | -82.8% | 0.45 | 0.07 | 4.1x | 127 | 64% |
| 볼린저 밴드 돌파 n=41, k=1.6 |
3.7% | -84.9% | 0.37 | 0.04 | 2.6x | 143 | 46% |
| Supertrend period=27, mult=4.4 |
3.4% | -84.9% | 0.35 | 0.04 | 2.4x | 91 | 65% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=29, mult=3.9 |
2.1% | -82.9% | 0.31 | 0.03 | 1.7x | 65 | 35% |
| Parabolic SAR step=0.015, maxStep=0.1 |
9.1% | -85.0% | 0.28 | 0.11 | 9.4x | 350 | 58% |
| MACD fast=7, slow=24, signal=14 |
2.8% | -85.0% | 0.20 | 0.03 | 2.0x | 512 | 50% |
| Buy and hold | 17.4% | -81.9% | 0.37 | 0.21 | 59.8x | 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, 60-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)