Trend-Following Backtester · Guide · backtest 한국어
equity · NO
TGS ASA backtest
10 trend-following strategies were compared on the full daily history of TGS ASA. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -41.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.0%, drawdown -80.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -41.0%, Sharpe 0.53, 24% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.9%, MDD -48.3%, exposure 56%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 9.4%, MDD -41.0%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=74, k=2.6 |
9.4% | -41.0% | 0.53 | 0.23 | 11.0x | 42 | 24% |
| EMA 크로스오버 fast=38, slow=102 |
11.9% | -48.3% | 0.52 | 0.25 | 19.7x | 43 | 56% |
| SMA 크로스오버 fast=34, slow=91 |
11.4% | -61.4% | 0.50 | 0.18 | 17.4x | 76 | 56% |
| Donchian 채널 돌파 entryN=74, exitN=40 |
10.1% | -56.8% | 0.49 | 0.18 | 12.8x | 54 | 42% |
| Supertrend period=9, mult=5 |
10.8% | -71.9% | 0.49 | 0.15 | 15.3x | 72 | 55% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=15, mult=3.7 |
5.6% | -62.6% | 0.36 | 0.09 | 4.3x | 58 | 29% |
| ROC 모멘텀 n=85, threshold=-0.03 |
6.6% | -81.1% | 0.36 | 0.08 | 5.5x | 241 | 60% |
| ADX / DI 방향성 period=28, threshold=25 |
2.2% | -29.3% | 0.25 | 0.08 | 1.8x | 32 | 7% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.7% | -86.2% | 0.08 | -0.03 | 0.5x | 224 | 55% |
| MACD fast=18, slow=43, signal=13 |
-6.0% | -94.7% | -0.02 | -0.06 | 0.2x | 370 | 52% |
| Buy and hold | 7.0% | -80.1% | 0.38 | 0.09 | 6.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 74-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 74-day middle average