Trend-Following Backtester · Guide · backtest 한국어
equity · NO
SalMar ASA backtest
10 trend-following strategies were compared on the full daily history of SalMar ASA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.3%, MDD -40.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.3%, drawdown -62.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.7%, MDD -45.2%, Sharpe 0.69, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 15.3%, MDD -40.3%, exposure 67%).
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=41, slow=204 |
16.7% | -45.2% | 0.69 | 0.37 | 19.5x | 24 | 67% |
| EMA 크로스오버 fast=30, slow=139 |
15.3% | -40.3% | 0.65 | 0.38 | 15.5x | 36 | 67% |
| Donchian 채널 돌파 entryN=17, exitN=52 |
16.3% | -45.6% | 0.64 | 0.36 | 18.2x | 47 | 81% |
| ROC 모멘텀 n=81, threshold=-0.1 |
13.2% | -56.4% | 0.55 | 0.23 | 10.9x | 119 | 83% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=16, mult=4 |
6.1% | -42.9% | 0.41 | 0.14 | 3.1x | 42 | 28% |
| Supertrend period=7, mult=5 |
7.1% | -48.4% | 0.39 | 0.15 | 3.7x | 62 | 59% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
4.5% | -43.3% | 0.35 | 0.10 | 2.3x | 38 | 21% |
| ADX / DI 방향성 period=31, threshold=25 |
1.8% | -25.0% | 0.26 | 0.07 | 1.4x | 24 | 7% |
| Parabolic SAR step=0.01, maxStep=0.08 |
1.1% | -65.9% | 0.18 | 0.02 | 1.2x | 239 | 55% |
| MACD fast=13, slow=46, signal=16 |
-4.2% | -87.6% | -0.03 | -0.05 | 0.4x | 259 | 50% |
| Buy and hold | 14.3% | -62.2% | 0.54 | 0.23 | 13.2x | 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 41-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 41-day average falls below the 204-day average