Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Borregaard ASA backtest
10 trend-following strategies were compared on the full daily history of Borregaard ASA. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.7%, MDD -35.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.4%, drawdown -46.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.7%, MDD -35.4%, Sharpe 0.70, 72% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 11.1%p (CAGR 14.7%, MDD -35.4%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=121, threshold=-0.06 |
14.7% | -35.4% | 0.70 | 0.42 | 6.8x | 54 | 72% |
| SMA 크로스오버 fast=50, slow=127 |
13.0% | -33.3% | 0.67 | 0.39 | 5.5x | 25 | 59% |
| Supertrend period=25, mult=5 |
11.4% | -33.0% | 0.63 | 0.35 | 4.5x | 35 | 59% |
| Donchian 채널 돌파 entryN=58, exitN=72 |
11.5% | -36.4% | 0.59 | 0.31 | 4.5x | 22 | 66% |
| 볼린저 밴드 돌파 n=52, k=1.5 |
9.0% | -35.4% | 0.57 | 0.25 | 3.3x | 68 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=2.7 |
8.4% | -34.5% | 0.56 | 0.24 | 3.1x | 46 | 39% |
| EMA 크로스오버 fast=56, slow=85 |
10.0% | -38.4% | 0.54 | 0.26 | 3.8x | 26 | 64% |
| ADX / DI 방향성 period=12, threshold=33 |
3.4% | -20.3% | 0.37 | 0.17 | 1.6x | 72 | 13% |
| Parabolic SAR step=0.01, maxStep=0.3 |
1.8% | -55.5% | 0.19 | 0.03 | 1.3x | 175 | 56% |
| MACD fast=15, slow=49, signal=16 |
1.0% | -58.2% | 0.15 | 0.02 | 1.1x | 178 | 50% |
| Buy and hold | 15.4% | -46.6% | 0.65 | 0.33 | 7.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 121-day return is greater than -6%
- Sell — Sell when the 121-day return drops to -6% or below