Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Protector Forsikring ASA backtest
10 trend-following strategies were compared on the full daily history of Protector Forsikring ASA. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 26.2%, MDD -34.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.6%, drawdown -79.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.7%, MDD -50.3%, Sharpe 0.91, 70% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 26.2%, MDD -34.6%, exposure 73%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 26.2%, MDD -34.6%, exposure 73%).
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=59, slow=212 |
25.7% | -50.3% | 0.91 | 0.51 | 82.6x | 14 | 70% |
| EMA 크로스오버 fast=51, slow=269 |
26.2% | -34.6% | 0.90 | 0.76 | 88.4x | 9 | 73% |
| Donchian 채널 돌파 entryN=57, exitN=112 |
25.3% | -50.9% | 0.85 | 0.50 | 77.7x | 15 | 76% |
| ROC 모멘텀 n=142, threshold=-0.11 |
21.8% | -55.1% | 0.77 | 0.40 | 45.0x | 63 | 78% |
| Supertrend period=15, mult=5 |
12.8% | -68.2% | 0.57 | 0.19 | 10.1x | 67 | 61% |
| ADX / DI 방향성 period=21, threshold=31 |
4.6% | -16.1% | 0.48 | 0.28 | 2.4x | 46 | 10% |
| 볼린저 밴드 돌파 n=47, k=1.2 |
6.9% | -51.0% | 0.39 | 0.14 | 3.6x | 134 | 49% |
| MACD fast=20, slow=73, signal=18 |
6.0% | -63.3% | 0.35 | 0.10 | 3.1x | 182 | 51% |
| Parabolic SAR step=0.01, maxStep=0.26 |
5.4% | -70.5% | 0.33 | 0.08 | 2.8x | 216 | 51% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=22, mult=4 |
2.8% | -35.8% | 0.28 | 0.08 | 1.7x | 38 | 13% |
| Buy and hold | 19.6% | -79.3% | 0.65 | 0.25 | 31.7x | 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 59-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 59-day average falls below the 212-day average