Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Sparebanken Norge backtest
10 trend-following strategies were compared on the full daily history of Sparebanken Norge. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.7%, MDD -37.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.5%, drawdown -77.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -37.1%, Sharpe 0.51, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 8.7%, MDD -37.1%, exposure 60%).
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=47, slow=201 |
8.7% | -37.1% | 0.51 | 0.24 | 9.3x | 28 | 60% |
| EMA 크로스오버 fast=70, slow=201 |
6.8% | -37.1% | 0.43 | 0.18 | 5.8x | 19 | 60% |
| Donchian 채널 돌파 entryN=35, exitN=75 |
3.2% | -58.7% | 0.25 | 0.05 | 2.3x | 51 | 68% |
| Supertrend period=23, mult=5 |
2.8% | -55.3% | 0.24 | 0.05 | 2.1x | 79 | 52% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=22, mult=4 |
0.5% | -7.6% | 0.21 | 0.06 | 1.1x | 4 | 0% |
| ADX / DI 방향성 period=13, threshold=37 |
1.2% | -24.2% | 0.18 | 0.05 | 1.4x | 88 | 10% |
| ROC 모멘텀 n=128, threshold=-0.12 |
0.5% | -86.4% | 0.14 | 0.01 | 1.1x | 145 | 79% |
| 볼린저 밴드 돌파 n=59, k=3 |
0.5% | -31.1% | 0.10 | 0.02 | 1.1x | 38 | 14% |
| MACD fast=20, slow=93, signal=71 |
-4.2% | -83.3% | -0.09 | -0.05 | 0.3x | 165 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.6% | -85.2% | -0.13 | -0.05 | 0.3x | 199 | 54% |
| Buy and hold | 3.5% | -77.2% | 0.27 | 0.05 | 2.5x | 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 47-day average price crosses above the 201-day average
- Sell — Sell (to cash) when the 47-day average falls below the 201-day average