Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Europris ASA backtest
10 trend-following strategies were compared on the full daily history of Europris ASA. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -30.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.3%, drawdown -54.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.8%, MDD -5.2%, Sharpe 0.51, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.4%, MDD -30.6%, exposure 52%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 49.4%p (CAGR 7.4%, MDD -30.6%, exposure 52%).
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=17, k=3.4 |
1.8% | -5.2% | 0.51 | 0.34 | 1.2x | 8 | 4% |
| ROC 모멘텀 n=6, threshold=0.13 |
1.4% | -4.9% | 0.48 | 0.28 | 1.2x | 10 | 1% |
| SMA 크로스오버 fast=47, slow=180 |
7.4% | -30.6% | 0.45 | 0.24 | 2.2x | 16 | 52% |
| Donchian 채널 돌파 entryN=52, exitN=99 |
6.7% | -40.8% | 0.39 | 0.16 | 2.0x | 14 | 67% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=19, mult=3.9 |
1.9% | -16.2% | 0.30 | 0.12 | 1.2x | 12 | 8% |
| EMA 크로스오버 fast=55, slow=216 |
3.1% | -39.8% | 0.25 | 0.08 | 1.4x | 14 | 56% |
| Supertrend period=9, mult=4.7 |
2.6% | -44.9% | 0.23 | 0.06 | 1.3x | 38 | 49% |
| MACD fast=32, slow=73, signal=22 |
2.3% | -43.1% | 0.22 | 0.05 | 1.3x | 82 | 49% |
| ADX / DI 방향성 period=36, threshold=13 |
0.5% | -33.3% | 0.11 | 0.02 | 1.1x | 76 | 34% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.9% | -56.5% | 0.06 | -0.02 | 0.9x | 151 | 52% |
| Buy and hold | 6.3% | -54.7% | 0.36 | 0.12 | 2.0x | 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 17-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 17-day middle average