Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Aker Solutions ASA backtest
10 trend-following strategies were compared on the full daily history of Aker Solutions ASA. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.6%, MDD -63.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.5%, drawdown -96.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -63.9%, Sharpe 0.55, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 13.6%, MDD -63.9%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=144 |
13.6% | -63.9% | 0.55 | 0.21 | 17.2x | 61 | 58% |
| EMA 크로스오버 fast=33, slow=69 |
11.8% | -68.8% | 0.51 | 0.17 | 12.1x | 59 | 59% |
| Donchian 채널 돌파 entryN=11, exitN=51 |
11.1% | -75.2% | 0.46 | 0.15 | 10.4x | 86 | 80% |
| Supertrend period=15, mult=4.6 |
9.1% | -76.6% | 0.43 | 0.12 | 7.0x | 76 | 51% |
| ROC 모멘텀 n=139, threshold=-0.03 |
8.5% | -70.8% | 0.42 | 0.12 | 6.2x | 143 | 61% |
| ADX / DI 방향성 period=43, threshold=6 |
6.4% | -69.8% | 0.36 | 0.09 | 4.0x | 222 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=1.7 |
4.3% | -64.9% | 0.29 | 0.07 | 2.5x | 132 | 44% |
| 볼린저 밴드 돌파 n=56, k=1.4 |
2.5% | -71.3% | 0.24 | 0.04 | 1.7x | 118 | 44% |
| MACD fast=10, slow=30, signal=10 |
-1.2% | -87.5% | 0.16 | -0.01 | 0.8x | 430 | 53% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-2.6% | -91.4% | 0.10 | -0.03 | 0.6x | 388 | 52% |
| Buy and hold | 5.5% | -96.6% | 0.37 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 9-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 9-day average falls below the 144-day average