Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Aker ASA Class A backtest
10 trend-following strategies were compared on the full daily history of Aker ASA Class A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.1%, MDD -49.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.6%, drawdown -98.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -55.0%, Sharpe 0.72, 32% exposure.
CAGR reference leader: Supertrend — CAGR 23.6%, MDD -75.7%, exposure 50%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 12.1%, MDD -49.4%, exposure 35%).
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=114, exitN=27 |
12.1% | -55.0% | 0.72 | 0.22 | 20.9x | 49 | 32% |
| ROC 모멘텀 n=111, threshold=0.12 |
12.1% | -49.4% | 0.67 | 0.24 | 21.0x | 157 | 35% |
| EMA 크로스오버 fast=30, slow=134 |
12.6% | -60.8% | 0.63 | 0.21 | 23.5x | 53 | 50% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
3.9% | -17.3% | 0.57 | 0.22 | 2.8x | 22 | 4% |
| SMA 크로스오버 fast=44, slow=126 |
8.7% | -75.1% | 0.47 | 0.12 | 9.2x | 53 | 52% |
| ADX / DI 방향성 period=28, threshold=21 |
5.9% | -31.8% | 0.46 | 0.18 | 4.6x | 87 | 20% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=14, mult=3.5 |
1.4% | -14.3% | 0.24 | 0.10 | 1.5x | 18 | 2% |
| Supertrend period=11, mult=4.5 |
23.6% | -75.7% | 0.23 | 0.31 | 282.5x | 95 | 50% |
| MACD fast=15, slow=52, signal=18 |
17.2% | -83.4% | 0.22 | 0.21 | 69.3x | 299 | 54% |
| Parabolic SAR step=0.005, maxStep=0.32 |
14.0% | -83.6% | 0.21 | 0.17 | 32.8x | 219 | 55% |
| Buy and hold | 8.6% | -98.5% | 0.22 | 0.09 | 8.9x | 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 114 days
- Sell — Sell when price breaks below the lowest low of the last 27 days