Trend-Following Backtester · Guide · backtest 한국어

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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 7.2%, MDD -29.7%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,738 (26.6 years)Costs 0.5%Venue OSLMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 6.1%, drawdown -73.8%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.2%, MDD -29.7%, Sharpe 0.64, 25% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 8.1%, MDD -40.5%, exposure 65%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 7.2%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=49, k=2.7
7.2%-29.7%0.640.246.3x4625%
EMA 크로스오버
fast=54, slow=210
7.7%-46.1%0.510.177.2x2960%
SMA 크로스오버
fast=12, slow=84
7.8%-32.8%0.510.247.3x9956%
Donchian 채널 돌파
entryN=45, exitN=63
8.1%-40.5%0.510.207.9x5565%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=23, mult=3.9
5.1%-35.1%0.470.143.7x5028%
ADX / DI 방향성
period=26, threshold=29
1.6%-27.2%0.330.061.5x308%
ROC 모멘텀
n=74, threshold=0.02
2.9%-46.2%0.260.062.1x26051%
Supertrend
period=27, mult=3.6
2.7%-65.6%0.240.042.0x13156%
Parabolic SAR
step=0.005, maxStep=0.08
1.4%-63.7%0.170.021.4x20355%
MACD
fast=22, slow=61, signal=24
-1.1%-76.8%0.03-0.010.7x22950%
Buy and hold6.1%-73.8%0.350.084.8x1100%
1x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -18% -37% -55% -74% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -29.7% (2005-03-31 → 2009-05-18), recovered after 1,629 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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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