Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Leroy Seafood Group ASA backtest
10 trend-following strategies were compared on the full daily history of Leroy Seafood Group ASA. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.9%, MDD -44.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.9%, drawdown -72.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.9%, MDD -44.4%, Sharpe 0.71, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 15.9%, MDD -44.4%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=41, exitN=51 |
15.9% | -44.4% | 0.71 | 0.36 | 34.4x | 53 | 64% |
| SMA 크로스오버 fast=32, slow=214 |
14.0% | -56.0% | 0.65 | 0.25 | 23.1x | 30 | 63% |
| EMA 크로스오버 fast=41, slow=211 |
13.7% | -63.2% | 0.65 | 0.22 | 21.7x | 26 | 63% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
7.5% | -25.3% | 0.56 | 0.30 | 5.6x | 45 | 21% |
| ROC 모멘텀 n=120, threshold=-0.09 |
12.0% | -70.8% | 0.54 | 0.17 | 14.9x | 158 | 78% |
| Supertrend period=11, mult=3.3 |
9.6% | -56.2% | 0.50 | 0.17 | 8.9x | 141 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=2.3 |
7.4% | -58.4% | 0.46 | 0.13 | 5.5x | 111 | 39% |
| MACD fast=18, slow=55, signal=15 |
7.8% | -57.3% | 0.44 | 0.14 | 6.0x | 265 | 50% |
| Parabolic SAR step=0.01, maxStep=0.36 |
8.0% | -49.9% | 0.43 | 0.16 | 6.4x | 311 | 55% |
| ADX / DI 방향성 period=34, threshold=12 |
6.4% | -49.9% | 0.41 | 0.13 | 4.4x | 191 | 39% |
| Buy and hold | 13.9% | -72.6% | 0.55 | 0.19 | 22.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 41 days
- Sell — Sell when price breaks below the lowest low of the last 51 days