Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Atea ASA backtest
10 trend-following strategies were compared on the full daily history of Atea ASA. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.7%, MDD -15.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.7%, drawdown -98.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.7%, MDD -15.3%, Sharpe 0.51, 8% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.2%, MDD -55.8%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 83.4%p (CAGR 4.7%, MDD -15.3%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=3.5 |
4.7% | -15.3% | 0.51 | 0.31 | 3.4x | 16 | 8% |
| EMA 크로스오버 fast=18, slow=36 |
8.2% | -55.8% | 0.42 | 0.15 | 8.0x | 125 | 51% |
| SMA 크로스오버 fast=19, slow=50 |
6.7% | -68.7% | 0.37 | 0.10 | 5.6x | 130 | 51% |
| Donchian 채널 돌파 entryN=64, exitN=26 |
5.6% | -53.8% | 0.36 | 0.10 | 4.3x | 68 | 37% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=25, mult=3.8 |
2.8% | -32.2% | 0.26 | 0.09 | 2.1x | 54 | 17% |
| Supertrend period=28, mult=3.8 |
1.4% | -80.6% | 0.20 | 0.02 | 1.5x | 113 | 50% |
| ROC 모멘텀 n=68, threshold=0.13 |
1.7% | -59.3% | 0.18 | 0.03 | 1.6x | 229 | 24% |
| ADX / DI 방향성 period=31, threshold=23 |
0.6% | -31.9% | 0.11 | 0.02 | 1.2x | 44 | 9% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.7% | -86.9% | 0.07 | -0.03 | 0.5x | 199 | 51% |
| MACD fast=17, slow=72, signal=12 |
-11.2% | -97.3% | -0.20 | -0.11 | 0.0x | 329 | 53% |
| Buy and hold | -5.7% | -98.7% | 0.11 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 50-day middle average