Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Scatec ASA backtest
10 trend-following strategies were compared on the full daily history of Scatec ASA. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.1%, MDD -58.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.6%, drawdown -86.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.8%, MDD -62.6%, Sharpe 0.64, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 15.1%, MDD -58.9%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=64, slow=87 |
15.8% | -62.6% | 0.64 | 0.25 | 5.7x | 16 | 59% |
| SMA 크로스오버 fast=32, slow=129 |
15.1% | -58.9% | 0.63 | 0.26 | 5.4x | 26 | 55% |
| Supertrend period=24, mult=3.3 |
14.3% | -69.2% | 0.62 | 0.21 | 4.9x | 65 | 54% |
| ROC 모멘텀 n=135, threshold=0.01 |
11.9% | -63.9% | 0.53 | 0.19 | 3.8x | 62 | 56% |
| Donchian 채널 돌파 entryN=58, exitN=79 |
12.0% | -59.8% | 0.52 | 0.20 | 3.9x | 16 | 61% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=14, mult=3.3 |
6.9% | -26.7% | 0.51 | 0.26 | 2.2x | 28 | 14% |
| 볼린저 밴드 돌파 n=41, k=3 |
6.1% | -24.2% | 0.48 | 0.25 | 2.0x | 20 | 14% |
| Parabolic SAR step=0.015, maxStep=0.28 |
8.5% | -76.9% | 0.43 | 0.11 | 2.6x | 197 | 53% |
| MACD fast=16, slow=34, signal=14 |
6.6% | -57.0% | 0.36 | 0.12 | 2.2x | 157 | 53% |
| ADX / DI 방향성 period=13, threshold=13 |
5.8% | -78.5% | 0.34 | 0.07 | 2.0x | 211 | 52% |
| Buy and hold | 14.6% | -86.7% | 0.54 | 0.17 | 5.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 64-day EMA crosses above the 87-day EMA
- Sell — Sell when the 64-day EMA falls below the 87-day EMA