Trend-Following Backtester · Guide · backtest 한국어

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Orkla ASA backtest

10 trend-following strategies were compared on the full daily history of Orkla ASA. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 2000-01-03 ~ 2026-07-30daily bars 6,737 (26.6 years)Costs 0.5%Venue OSLMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 5.1%, drawdown -82.2%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -9.5%, Sharpe 0.38, 3% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 3.7%, MDD -45.5%, exposure 56%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=24, threshold=37
1.4%-9.5%0.380.151.5x63%
Donchian 채널 돌파
entryN=100, exitN=85
3.7%-45.5%0.300.082.6x3456%
EMA 크로스오버
fast=27, slow=208
3.0%-52.0%0.260.062.2x4462%
SMA 크로스오버
fast=40, slow=218
2.8%-46.4%0.240.062.1x3860%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=16, mult=4
0.9%-43.2%0.140.021.3x5822%
볼린저 밴드 돌파
n=51, k=3.1
0.5%-33.7%0.100.021.2x4415%
ROC 모멘텀
n=143, threshold=-0.06
0.0%-70.6%0.100.001.0x21174%
Supertrend
period=14, mult=3.8
-0.4%-75.2%0.06-0.010.9x13157%
MACD
fast=18, slow=58, signal=16
-2.3%-75.6%-0.04-0.030.5x29352%
Parabolic SAR
step=0.005, maxStep=0.34
-2.5%-69.2%-0.05-0.040.5x22256%
Buy and hold5.1%-82.2%0.240.063.8x1100%
1x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -21% -41% -62% -82% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -9.5% (2005-04-14 → 2005-04-19), recovered after 663 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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