Trend-Following Backtester · Guide · backtest 한국어
equity · NO
DNO ASA Class A backtest
10 trend-following strategies were compared on the full daily history of DNO ASA Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.9%, MDD -60.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.1%, drawdown -89.1%).
Sharpe leader (same as main): Supertrend — CAGR 12.6%, MDD -70.3%, Sharpe 0.50, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 11.9%, MDD -60.6%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=2.8 |
12.6% | -70.3% | 0.50 | 0.18 | 23.5x | 209 | 53% |
| EMA 크로스오버 fast=39, slow=94 |
11.9% | -60.6% | 0.49 | 0.20 | 20.2x | 59 | 55% |
| SMA 크로스오버 fast=21, slow=139 |
11.3% | -62.7% | 0.48 | 0.18 | 17.4x | 68 | 53% |
| Donchian 채널 돌파 entryN=56, exitN=76 |
11.4% | -64.6% | 0.48 | 0.18 | 17.9x | 41 | 59% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=14, mult=3.4 |
6.1% | -41.3% | 0.44 | 0.15 | 4.9x | 54 | 10% |
| MACD fast=18, slow=40, signal=15 |
8.9% | -73.9% | 0.41 | 0.12 | 9.6x | 307 | 50% |
| 볼린저 밴드 돌파 n=43, k=1.1 |
7.7% | -70.4% | 0.39 | 0.11 | 7.3x | 199 | 42% |
| ADX / DI 방향성 period=39, threshold=33 |
2.2% | -12.0% | 0.37 | 0.18 | 1.8x | 10 | 2% |
| ROC 모멘텀 n=138, threshold=-0.08 |
6.3% | -89.2% | 0.35 | 0.07 | 5.1x | 201 | 67% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.9% | -79.6% | 0.31 | 0.06 | 3.6x | 211 | 50% |
| Buy and hold | 10.1% | -89.1% | 0.45 | 0.11 | 13.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)