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 10.4%, drawdown -31.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.7%, MDD -31.2%, Sharpe 0.71, 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=-0.09 |
12.7% | -31.2% | 0.71 | 0.41 | 3.0x | 7 | 99% |
| SMA 크로스오버 fast=58, slow=206 |
7.2% | -30.6% | 0.52 | 0.24 | 1.9x | 12 | 57% |
| Donchian 채널 돌파 entryN=99, exitN=33 |
4.9% | -18.4% | 0.43 | 0.27 | 1.6x | 16 | 47% |
| 볼린저 밴드 돌파 n=68, k=1.7 |
4.7% | -25.1% | 0.43 | 0.19 | 1.5x | 30 | 45% |
| Supertrend period=20, mult=4.8 |
4.5% | -33.9% | 0.37 | 0.13 | 1.5x | 22 | 63% |
| ADX / DI 방향성 period=39, threshold=13 |
3.8% | -27.5% | 0.36 | 0.14 | 1.4x | 42 | 43% |
| EMA 크로스오버 fast=42, slow=52 |
4.1% | -38.0% | 0.34 | 0.11 | 1.4x | 24 | 64% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.5% | -23.0% | 0.24 | 0.11 | 1.2x | 72 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=7, mult=2.1 |
-0.5% | -35.0% | 0.03 | -0.01 | 1.0x | 48 | 42% |
| MACD fast=18, slow=50, signal=18 |
-5.6% | -53.7% | -0.36 | -0.10 | 0.6x | 119 | 47% |
| Buy and hold | 10.4% | -31.2% | 0.60 | 0.33 | 2.5x | 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 -9%
- Sell — Sell when the 5-day return drops to -9% or below