Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Norbit ASA backtest
10 trend-following strategies were compared on the full daily history of Norbit ASA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 37.3%, MDD -31.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 34.9%, drawdown -44.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 37.3%, MDD -31.4%, Sharpe 1.13, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 13.4%p (CAGR 37.3%, MDD -31.4%, exposure 68%).
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=48, slow=205 |
37.3% | -31.4% | 1.13 | 1.19 | 9.5x | 10 | 68% |
| EMA 크로스오버 fast=55, slow=137 |
33.9% | -39.0% | 1.03 | 0.87 | 8.0x | 6 | 70% |
| Supertrend period=22, mult=5 |
30.3% | -33.3% | 0.96 | 0.91 | 6.6x | 12 | 64% |
| Donchian 채널 돌파 entryN=54, exitN=62 |
27.9% | -30.8% | 0.94 | 0.91 | 5.8x | 10 | 58% |
| ROC 모멘텀 n=130, threshold=0.11 |
22.9% | -31.5% | 0.84 | 0.73 | 4.3x | 54 | 52% |
| 볼린저 밴드 돌파 n=68, k=1.6 |
20.7% | -33.1% | 0.81 | 0.63 | 3.8x | 26 | 44% |
| Parabolic SAR step=0.015, maxStep=0.3 |
16.7% | -44.7% | 0.67 | 0.37 | 3.0x | 110 | 49% |
| MACD fast=12, slow=57, signal=13 |
16.2% | -38.4% | 0.66 | 0.42 | 2.9x | 93 | 49% |
| ADX / DI 방향성 period=39, threshold=11 |
14.0% | -34.9% | 0.61 | 0.40 | 2.5x | 40 | 44% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=24, mult=1.2 |
13.5% | -37.7% | 0.59 | 0.36 | 2.5x | 48 | 47% |
| Buy and hold | 34.9% | -44.8% | 0.94 | 0.78 | 8.4x | 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 48-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 48-day average falls below the 205-day average