Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Norsk Hydro ASA backtest
10 trend-following strategies were compared on the full daily history of Norsk Hydro ASA. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -56.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.0%, drawdown -76.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -56.8%, Sharpe 0.40, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.3%, MDD -57.6%, exposure 84%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 7.0%, MDD -56.8%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=50, slow=90 |
7.0% | -56.8% | 0.40 | 0.12 | 6.0x | 50 | 61% |
| Donchian 채널 돌파 entryN=11, exitN=74 |
7.3% | -57.6% | 0.38 | 0.13 | 6.5x | 78 | 84% |
| ROC 모멘텀 n=104, threshold=-0.06 |
5.9% | -57.4% | 0.35 | 0.10 | 4.6x | 193 | 71% |
| SMA 크로스오버 fast=43, slow=134 |
5.6% | -61.4% | 0.35 | 0.09 | 4.3x | 48 | 61% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
1.0% | -11.7% | 0.33 | 0.09 | 1.3x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=17, mult=2.4 |
4.2% | -49.9% | 0.31 | 0.08 | 3.0x | 110 | 42% |
| Supertrend period=12, mult=4.3 |
4.1% | -43.4% | 0.29 | 0.09 | 2.9x | 116 | 50% |
| ADX / DI 방향성 period=48, threshold=14 |
2.4% | -39.3% | 0.24 | 0.06 | 1.9x | 66 | 18% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-1.2% | -71.8% | 0.07 | -0.02 | 0.7x | 372 | 54% |
| MACD fast=13, slow=45, signal=18 |
-1.6% | -83.6% | 0.05 | -0.02 | 0.7x | 355 | 51% |
| Buy and hold | 6.0% | -76.2% | 0.34 | 0.08 | 4.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 90-day EMA
- Sell — Sell when the 50-day EMA falls below the 90-day EMA