Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Equinor ASA backtest
10 trend-following strategies were compared on the full daily history of Equinor ASA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -57.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -49.3%, Sharpe 0.42, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=41, slow=123 |
7.1% | -49.3% | 0.42 | 0.14 | 6.2x | 61 | 57% |
| EMA 크로스오버 fast=56, slow=102 |
5.5% | -61.1% | 0.36 | 0.09 | 4.1x | 51 | 54% |
| 볼린저 밴드 돌파 n=70, k=2.4 |
4.1% | -32.6% | 0.34 | 0.12 | 2.9x | 59 | 29% |
| ADX / DI 방향성 period=32, threshold=34 |
0.6% | -4.0% | 0.32 | 0.16 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=35, exitN=69 |
4.5% | -57.9% | 0.30 | 0.08 | 3.2x | 63 | 69% |
| Supertrend period=16, mult=4.3 |
3.6% | -57.0% | 0.28 | 0.06 | 2.6x | 105 | 52% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=15, mult=3.3 |
2.6% | -38.4% | 0.24 | 0.07 | 2.0x | 77 | 32% |
| ROC 모멘텀 n=123, threshold=-0.01 |
0.1% | -84.4% | 0.11 | 0.00 | 1.0x | 267 | 58% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.4% | -78.2% | -0.06 | -0.04 | 0.4x | 231 | 52% |
| MACD fast=14, slow=47, signal=15 |
-5.6% | -89.1% | -0.16 | -0.06 | 0.2x | 364 | 51% |
| Buy and hold | 6.8% | -57.6% | 0.37 | 0.12 | 5.8x | 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 41-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 41-day average falls below the 123-day average