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 26.5%, MDD -34.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.9%, drawdown -79.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.9%, MDD -50.3%, Sharpe 0.91, 70% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 26.5%, MDD -34.6%, exposure 72%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 26.5%, MDD -34.6%, exposure 72%).
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 |
25.9% | -50.3% | 0.91 | 0.51 | 82.6x | 14 | 70% |
| EMA 크로스오버 fast=51, slow=269 |
26.5% | -34.6% | 0.91 | 0.76 | 90.9x | 9 | 72% |
| Donchian 채널 돌파 entryN=57, exitN=112 |
25.7% | -50.9% | 0.86 | 0.50 | 79.9x | 15 | 76% |
| ROC 모멘텀 n=142, threshold=-0.11 |
22.1% | -55.1% | 0.78 | 0.40 | 46.2x | 61 | 78% |
| Supertrend period=15, mult=5 |
13.0% | -68.2% | 0.58 | 0.19 | 10.4x | 67 | 61% |
| ADX / DI 방향성 period=21, threshold=31 |
4.6% | -16.1% | 0.48 | 0.29 | 2.4x | 46 | 10% |
| 볼린저 밴드 돌파 n=47, k=1.2 |
7.5% | -51.0% | 0.41 | 0.15 | 4.0x | 131 | 49% |
| MACD fast=20, slow=73, signal=18 |
6.6% | -63.3% | 0.37 | 0.10 | 3.4x | 179 | 51% |
| Parabolic SAR step=0.01, maxStep=0.26 |
5.9% | -70.5% | 0.34 | 0.08 | 3.0x | 214 | 51% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=22, mult=4 |
2.8% | -35.8% | 0.28 | 0.08 | 1.7x | 38 | 14% |
| Buy and hold | 19.9% | -79.3% | 0.65 | 0.25 | 32.6x | 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