Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Storebrand ASA backtest
10 trend-following strategies were compared on the full daily history of Storebrand ASA. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.3%, MDD -44.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.2%, drawdown -87.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -44.9%, Sharpe 0.42, 45% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.6%, MDD -48.1%, exposure 60%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 6.3%, MDD -44.9%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=99, exitN=43 |
6.3% | -44.9% | 0.42 | 0.14 | 5.1x | 49 | 45% |
| SMA 크로스오버 fast=11, slow=88 |
6.6% | -48.1% | 0.38 | 0.14 | 5.4x | 103 | 60% |
| EMA 크로스오버 fast=23, slow=120 |
6.3% | -56.4% | 0.38 | 0.11 | 5.1x | 63 | 60% |
| ROC 모멘텀 n=183, threshold=-0.06 |
5.9% | -57.6% | 0.36 | 0.10 | 4.6x | 119 | 70% |
| 볼린저 밴드 돌파 n=57, k=1.9 |
2.6% | -52.7% | 0.23 | 0.05 | 2.0x | 111 | 38% |
| Parabolic SAR step=0.02, maxStep=0.18 |
2.0% | -72.3% | 0.20 | 0.03 | 1.7x | 535 | 55% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=18, mult=1.6 |
1.9% | -48.9% | 0.20 | 0.04 | 1.7x | 163 | 48% |
| Supertrend period=10, mult=4.5 |
1.5% | -72.4% | 0.19 | 0.02 | 1.5x | 113 | 56% |
| MACD fast=8, slow=58, signal=18 |
-2.4% | -84.6% | 0.04 | -0.03 | 0.5x | 381 | 51% |
| ADX / DI 방향성 period=31, threshold=31 |
0.0% | -11.5% | 0.03 | 0.00 | 1.0x | 10 | 2% |
| Buy and hold | 5.2% | -87.9% | 0.33 | 0.06 | 3.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 99 days
- Sell — Sell when price breaks below the lowest low of the last 43 days