Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Sparebank 1 Ostlandet backtest
10 trend-following strategies were compared on the full daily history of Sparebank 1 Ostlandet. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.8%, drawdown -31.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.1%, MDD -31.2%, Sharpe 0.74, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.08 |
13.1% | -31.2% | 0.74 | 0.42 | 3.1x | 11 | 99% |
| SMA 크로스오버 fast=60, slow=210 |
7.0% | -30.6% | 0.51 | 0.23 | 1.9x | 12 | 56% |
| Supertrend period=13, mult=4.9 |
5.8% | -22.7% | 0.47 | 0.25 | 1.7x | 21 | 58% |
| 볼린저 밴드 돌파 n=72, k=1.8 |
5.1% | -23.9% | 0.46 | 0.21 | 1.6x | 29 | 45% |
| Donchian 채널 돌파 entryN=71, exitN=69 |
5.1% | -26.4% | 0.42 | 0.19 | 1.6x | 15 | 57% |
| ADX / DI 방향성 period=34, threshold=11 |
4.2% | -26.7% | 0.36 | 0.16 | 1.5x | 70 | 50% |
| EMA 크로스오버 fast=40, slow=55 |
4.3% | -38.1% | 0.35 | 0.11 | 1.5x | 25 | 64% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.0% | -23.0% | 0.28 | 0.13 | 1.3x | 73 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=4 |
-0.1% | -27.9% | 0.03 | -0.00 | 1.0x | 16 | 17% |
| MACD fast=24, slow=41, signal=24 |
-4.4% | -47.1% | -0.26 | -0.09 | 0.7x | 105 | 48% |
| Buy and hold | 10.8% | -31.2% | 0.62 | 0.35 | 2.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than -8%
- Sell — Sell when the 5-day return drops to -8% or below