Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Norwegian Air Shuttle ASA backtest
10 trend-following strategies were compared on the full daily history of Norwegian Air Shuttle ASA. 10 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 13.5%, MDD -35.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.1%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -35.0%, Sharpe 0.72, 18% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.9%, MDD -65.6%, exposure 45%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 30.6%p higher than buy and hold, while drawdown improves by 65.0%p (CAGR 13.5%, MDD -35.0%, exposure 18%).
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=95, exitN=9 |
13.5% | -35.0% | 0.72 | 0.39 | 17.7x | 72 | 18% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=3.2 |
13.2% | -65.3% | 0.59 | 0.20 | 16.6x | 64 | 30% |
| EMA 크로스오버 fast=6, slow=156 |
13.9% | -65.6% | 0.58 | 0.21 | 19.1x | 66 | 45% |
| SMA 크로스오버 fast=46, slow=121 |
13.1% | -85.6% | 0.54 | 0.15 | 16.1x | 42 | 47% |
| ROC 모멘텀 n=87, threshold=0.12 |
11.6% | -71.6% | 0.52 | 0.16 | 11.9x | 208 | 35% |
| ADX / DI 방향성 period=31, threshold=18 |
10.0% | -77.9% | 0.49 | 0.13 | 8.6x | 84 | 22% |
| 볼린저 밴드 돌파 n=23, k=0.7 |
11.5% | -78.7% | 0.46 | 0.15 | 11.7x | 302 | 42% |
| Supertrend period=15, mult=3.9 |
9.3% | -90.3% | 0.42 | 0.10 | 7.5x | 100 | 45% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.7% | -97.0% | 0.40 | 0.09 | 6.5x | 164 | 45% |
| MACD fast=19, slow=83, signal=16 |
1.5% | -98.5% | 0.27 | 0.02 | 1.4x | 184 | 53% |
| Buy and hold | -17.1% | -99.9% | 0.03 | -0.17 | 0.0x | 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 95 days
- Sell — Sell when price breaks below the lowest low of the last 9 days