Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Nordic Semiconductor ASA backtest
10 trend-following strategies were compared on the full daily history of Nordic Semiconductor ASA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.2%, MDD -61.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.1%, drawdown -93.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.6%, MDD -69.8%, Sharpe 0.83, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 19.2%, MDD -61.6%, exposure 43%).
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=15, slow=80 |
25.6% | -69.8% | 0.83 | 0.37 | 436.1x | 82 | 55% |
| EMA 크로스오버 fast=10, slow=75 |
23.6% | -73.8% | 0.79 | 0.32 | 285.9x | 98 | 55% |
| Donchian 채널 돌파 entryN=77, exitN=46 |
22.2% | -62.5% | 0.78 | 0.36 | 210.7x | 46 | 48% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=35, mult=2.1 |
19.2% | -61.6% | 0.74 | 0.31 | 107.7x | 104 | 43% |
| ROC 모멘텀 n=84, threshold=0.1 |
19.9% | -63.0% | 0.73 | 0.32 | 126.7x | 214 | 43% |
| ADX / DI 방향성 period=27, threshold=20 |
14.8% | -49.7% | 0.67 | 0.30 | 39.6x | 114 | 26% |
| 볼린저 밴드 돌파 n=59, k=2 |
15.6% | -61.4% | 0.66 | 0.25 | 47.9x | 92 | 38% |
| Supertrend period=9, mult=4.3 |
17.2% | -72.3% | 0.61 | 0.24 | 68.6x | 128 | 54% |
| MACD fast=30, slow=53, signal=22 |
9.2% | -89.4% | 0.44 | 0.10 | 10.6x | 189 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
9.0% | -79.6% | 0.42 | 0.11 | 10.0x | 430 | 53% |
| Buy and hold | 18.1% | -93.8% | 0.56 | 0.19 | 84.3x | 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 15-day average price crosses above the 80-day average
- Sell — Sell (to cash) when the 15-day average falls below the 80-day average