Trend-Following Backtester · Guide · backtest 한국어
equity · NO
SpareBank 1 Nord-Norge backtest
10 trend-following strategies were compared on the full daily history of SpareBank 1 Nord-Norge. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.6%, MDD -29.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -75.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.6%, MDD -35.8%, Sharpe 0.60, 30% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.0%, MDD -35.1%, exposure 60%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 39.4%p (CAGR 8.6%, MDD -29.6%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=3.9 |
7.6% | -35.8% | 0.60 | 0.21 | 5.6x | 48 | 30% |
| SMA 크로스오버 fast=19, slow=109 |
9.0% | -35.1% | 0.53 | 0.26 | 7.6x | 59 | 60% |
| EMA 크로스오버 fast=36, slow=59 |
8.6% | -29.6% | 0.52 | 0.29 | 7.0x | 67 | 61% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
6.2% | -27.9% | 0.51 | 0.22 | 4.1x | 54 | 29% |
| Donchian 채널 돌파 entryN=63, exitN=55 |
7.2% | -33.5% | 0.46 | 0.21 | 5.1x | 48 | 55% |
| Supertrend period=29, mult=4.5 |
6.6% | -60.4% | 0.43 | 0.11 | 4.5x | 77 | 59% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.6% | -50.9% | 0.28 | 0.07 | 2.3x | 185 | 55% |
| ROC 모멘텀 n=89, threshold=0.09 |
2.9% | -58.6% | 0.26 | 0.05 | 2.0x | 232 | 36% |
| ADX / DI 방향성 period=36, threshold=24 |
0.9% | -9.7% | 0.24 | 0.10 | 1.2x | 14 | 5% |
| MACD fast=19, slow=82, signal=31 |
2.2% | -61.1% | 0.21 | 0.04 | 1.7x | 177 | 52% |
| Buy and hold | 9.0% | -75.2% | 0.44 | 0.12 | 7.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 55-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average