Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Hexagon Composites ASA backtest
10 trend-following strategies were compared on the full daily history of Hexagon Composites ASA. 8 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 12.1%, MDD -34.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.1%, drawdown -88.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.1%, MDD -34.0%, Sharpe 0.63, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.2%, MDD -56.5%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 12.1%, MDD -34.0%, exposure 14%).
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=36, k=3.3 |
12.1% | -34.0% | 0.63 | 0.36 | 20.9x | 44 | 14% |
| SMA 크로스오버 fast=14, slow=107 |
16.2% | -56.5% | 0.59 | 0.29 | 54.4x | 83 | 49% |
| EMA 크로스오버 fast=16, slow=54 |
15.2% | -58.6% | 0.56 | 0.26 | 42.6x | 113 | 49% |
| Donchian 채널 돌파 entryN=72, exitN=26 |
13.7% | -57.7% | 0.55 | 0.24 | 30.3x | 60 | 37% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=3.2 |
10.0% | -46.6% | 0.52 | 0.21 | 12.5x | 67 | 15% |
| Supertrend period=26, mult=5 |
13.2% | -65.2% | 0.51 | 0.20 | 26.8x | 73 | 50% |
| ROC 모멘텀 n=187, threshold=0.14 |
11.8% | -62.9% | 0.50 | 0.19 | 19.3x | 156 | 39% |
| ADX / DI 방향성 period=30, threshold=25 |
7.2% | -38.4% | 0.45 | 0.19 | 6.3x | 40 | 12% |
| MACD fast=23, slow=55, signal=18 |
4.5% | -86.0% | 0.30 | 0.05 | 3.2x | 253 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.8% | -89.9% | 0.26 | 0.03 | 2.1x | 195 | 46% |
| Buy and hold | 7.1% | -88.6% | 0.40 | 0.08 | 6.1x | 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 36-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 36-day middle average