Trend-Following Backtester · Guide · backtest 한국어
equity · NO
SPAREBANK 1 SOR-NORGE ASA backtest
10 trend-following strategies were compared on the full daily history of SPAREBANK 1 SOR-NORGE ASA. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -29.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.3%, drawdown -73.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.1%, MDD -29.7%, Sharpe 0.64, 25% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.3%, MDD -40.5%, exposure 65%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 7.1%, MDD -29.7%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=2.7 |
7.1% | -29.7% | 0.64 | 0.24 | 6.3x | 46 | 25% |
| EMA 크로스오버 fast=54, slow=210 |
7.9% | -46.1% | 0.52 | 0.17 | 7.6x | 29 | 60% |
| SMA 크로스오버 fast=12, slow=84 |
8.0% | -32.8% | 0.52 | 0.24 | 7.8x | 99 | 56% |
| Donchian 채널 돌파 entryN=45, exitN=63 |
8.3% | -40.5% | 0.52 | 0.20 | 8.3x | 55 | 65% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=3.9 |
5.1% | -35.1% | 0.47 | 0.14 | 3.7x | 51 | 28% |
| ADX / DI 방향성 period=26, threshold=29 |
1.6% | -27.2% | 0.33 | 0.06 | 1.5x | 30 | 8% |
| ROC 모멘텀 n=74, threshold=0.02 |
3.1% | -46.2% | 0.27 | 0.07 | 2.3x | 261 | 51% |
| Supertrend period=27, mult=3.6 |
2.9% | -65.6% | 0.25 | 0.04 | 2.1x | 131 | 56% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.6% | -63.7% | 0.18 | 0.02 | 1.5x | 203 | 55% |
| MACD fast=22, slow=61, signal=24 |
-0.9% | -76.8% | 0.05 | -0.01 | 0.8x | 229 | 50% |
| Buy and hold | 6.3% | -73.8% | 0.36 | 0.09 | 5.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 49-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 49-day middle average